Arbeitspapier
Do Survey Data Help Identify Supply and Demand Shocks in Sign-restricted SVARs?
Sign-restricted SVARs are typically characterized by high identification uncertainty. However, using external proxies can be helpful in this context. In this paper, I use business survey data to inform an SVAR of aggregate supply, demand and monetary policy shocks for the euro area. In the surveys, companies report input factors that limit their business activities. I show that sign-identified model sets are very heterogenous and produce shocks that are only weakly related to survey-based input shortage indicators. In contrast, combining sign restrictions with information from these shortage indicators narrows the set of admissible impulse response functions and affects policy-related conclusions drawn from the model.
- Sprache
-
Englisch
- Klassifikation
-
Wirtschaft
- Thema
-
Proxy VARs
SVAR
sign restrictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Salzmann, Leonard
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz Information Centre for Economics
- (wo)
-
Kiel, Hamburg
- (wann)
-
2024
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Salzmann, Leonard
- ZBW - Leibniz Information Centre for Economics
Entstanden
- 2024
Ähnliche Objekte (12)
Using the global dimension to identify shocks with sign restrictions
Using financial markets information to identify oil supply shocks in a restricted VAR
Do SVARs with sign restrictions not identify unconventional monetary policy shocks?
Using stock returns to identify government spending shocks
Identifying regional labor demand shocks using sign restrictions
Does information help recovering structural shocks from past observations?
Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?
Does Basel II pillar 3 risk exposure data help to identify risky banks?
Do Remittances Help Smooth Consumption During Health Shocks? Evidence From Jamaica
To sign or not to sign? On the response of prices to financial and uncertainty shocks
Restricted love
Restricted matchings
Using the global dimension to identify shocks with sign restrictions
Using financial markets information to identify oil supply shocks in a restricted VAR
Do SVARs with sign restrictions not identify unconventional monetary policy shocks?
Using stock returns to identify government spending shocks
Identifying regional labor demand shocks using sign restrictions
Does information help recovering structural shocks from past observations?
Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?
Does Basel II pillar 3 risk exposure data help to identify risky banks?
Do Remittances Help Smooth Consumption During Health Shocks? Evidence From Jamaica
To sign or not to sign? On the response of prices to financial and uncertainty shocks
Restricted love
Restricted matchings
Using the global dimension to identify shocks with sign restrictions
Using financial markets information to identify oil supply shocks in a restricted VAR
Do SVARs with sign restrictions not identify unconventional monetary policy shocks?
Using stock returns to identify government spending shocks
Identifying regional labor demand shocks using sign restrictions
Does information help recovering structural shocks from past observations?
Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?
Does Basel II pillar 3 risk exposure data help to identify risky banks?
Do Remittances Help Smooth Consumption During Health Shocks? Evidence From Jamaica
To sign or not to sign? On the response of prices to financial and uncertainty shocks
Restricted love