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Cherchye, Laurens; De Rock, Bram; Ferrando, Annalisa; … - 2020

We propose a new methodology to recover firm-time varying financial constraints from firms' production behavior. We model financial constraints as the profitability that firms forgo when budget constraints on production inputs bind, impeding them from using the optimal level of inputs and...

Persistent link: https://www.econbiz.de/10012422082

The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data

Farinha, Luísa; Robalo Marques, Carlos - 2001

Portuguese micro bank data. In contrast to the conventional approach, which addresses the identification issue by resorting to …

Persistent link: https://www.econbiz.de/10011604148

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - 2002

rate. We show how this information can be used to achieve identification without having to make the usual strong assumption …

Persistent link: https://www.econbiz.de/10011604213

Identifying the monetary transmission mechanism using structural breaks

Beyer, Andreas; Farmer, Roger E. A. - 2003

identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the …

Persistent link: https://www.econbiz.de/10011604321

On the indeterminacy of determinacy and indeterminacy

Beyer, Andreas; Farmer, Roger E. A. - 2003

A number of authors have attempted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1 displays...

Persistent link: https://www.econbiz.de/10011604323

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - 2006

observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t … identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to … detect identification failures and apply them to a state-of-the-art model. …

Persistent link: https://www.econbiz.de/10011604629

A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models

Beyer, Andreas; Farmer, Roger E. A. - 2006

We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...

Persistent link: https://www.econbiz.de/10011604632

What does a technology shock do? A VAR analysis with model-based sign restrictions

Dedola, Luca; Neri, Stefano - 2006

, with both real and nominal frictions, and with sufficiently wide ranges for their parameterers. This identification …

Persistent link: https://www.econbiz.de/10011604751

Opening the black box: structural factor models with large cross-sections

Forni, Mario; Giannone, Domenico; Lippi, Marco; … - 2007

sufficient conditions for identification of the structural shocks and the associated impulse response functions. In particular …

Persistent link: https://www.econbiz.de/10011604758

Are asset price data informative about news shocks? A DSGE perspective

Iskrev, Nikolay - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...

Persistent link: https://www.econbiz.de/10011916865