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Taking as data-generation process a standard DSGE model, we show via Monte Carlo that reliably detecting hysteresis, defined as the presence of aggregate demand shocks with a permanent impact on output, is a significant challenge, as model-consistent identification schemes (i) spuriously detect...
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We study whether the response of the economy to structural shocks changes at the zero lower bound. Monte Carlo evidence suggests that VARs have a limited ability to detect changes in impulse response functions at the ZLB compared to the standard environment with positive interest rates. This...
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We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact: in response to news about future increases in TFP, inventories rise and comove positively with other major macroeconomic aggregates. We show that the standard theoretical...
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