Replication data for: VAR Analysis and the Great Moderation
Principal Investigator(s): View help for Principal Investigator(s) Luca Benati; Paolo Surico
Version: View help for Version V1
Name | File Type | Size | Last Modified |
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BayesianEstimation.asv | text/plain | 10 KB | 10/12/2019 05:51:AM |
BayesianEstimation.m | text/plain | 6.5 KB | 10/12/2019 05:51:AM |
CheckA0Matrices.asv | text/plain | 8 KB | 10/12/2019 05:51:AM |
CheckA0Matrices.m | text/plain | 6.9 KB | 10/12/2019 05:51:AM |
CheckDeterminacy.m | text/plain | 2.1 KB | 10/12/2019 05:51:AM |
Companion.m | text/plain | 760 bytes | 10/12/2019 05:51:AM |
Dataset.mat | application/octet-stream | 4.7 KB | 10/12/2019 05:51:AM |
ErgodicDistribution.mat | application/octet-stream | 6.7 MB | 10/12/2019 05:51:AM |
GetA0.m | text/plain | 1.4 KB | 10/12/2019 05:51:AM |
GetBetaParameters.m | text/plain | 584 bytes | 10/12/2019 05:51:AM |
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Project Citation:
Benati, Luca, and Surico, Paolo. Replication data for: VAR Analysis and the Great Moderation. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113325V1
Project Description
Summary:
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Most analyses of the US Great Moderation are based on structural VARs, and point toward good luck as the main explanation for the recent macroeconomic stability. Based on an estimated New-Keynesian model where the only source of change is the move from passive to active monetary policy, we show that (i) the theoretical VAR innovation variances for all series decrease across regimes; (ii) VAR-based counterfactuals assign a minor role to improved policy; and (iii) VAR impulse-response functions to a monetary shock exhibit little variation across regimes. Our analysis suggests that existing VAR evidence is also compatible with the "good policy" hypothesis. (JEL C32, C52, E13, E52, N12)
Scope of Project
JEL Classification:
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C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C52 Model Evaluation, Validation, and Selection
E13 General Aggregative Models: Neoclassical
E52 Monetary Policy
N12 Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913-
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C52 Model Evaluation, Validation, and Selection
E13 General Aggregative Models: Neoclassical
E52 Monetary Policy
N12 Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913-
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