This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs) with a highly persistent variable as hours worked and long-run identifying restrictions. The highly persistent variable is specified as a nearly stationary persistent process....

This paper investigates the reliability of SVARs to identify the dynamic effects of news shocks. We show analytically that the dynamics implied by SVARs, using both long–run and short–run restrictions, are biased. However, the bias vanishes as long as news shocks account for most of the...

This paper examines issues related to the estimation of the government spending multiplier (GSM) in a Dynamic Stochastic General Equilibrium context. We stress a potential source of bias in the GSM arising from the combination of Edgeworth complementarity/substitutability between private...

Cet article présente les contributions originelles et essentielles de T. Sargent et C. Sims à la modélisation macro-économétrique. Après avoir exposé leur critique de la modélisation existante, cet article s'attache à préciser l'originalité de leurs approches respectives. La...

This paper assesses SVARs as relevant tools at identifying the aggregate effects of news shocks. When the econometrician and private agents’ information sets are not aligned, the dynamic responses identified from SVARs are biased. However, the bias vanishes when news shocks account for the...