American Economic Journal: Macroeconomics
no. 4, October 2022
We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 < q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not necessarily combine disturbances of the same type. Theory-based restrictions may be insufficient to obtain structural dynamics. We revisit the evidence regarding the transmission of house price and of uncertainty shocks. We provide suggestions on how to compare the dynamics of larger scale DSGEs models with smaller scale VARs.
Canova, Fabio, and Filippo Ferroni.
"Mind the Gap! Stylized Dynamic Facts and Structural Models."
American Economic Journal: Macroeconomics,
General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
General Aggregative Models: Neoclassical
Price Level; Inflation; Deflation
Interest Rates: Determination, Term Structure, and Effects
Housing Supply and Markets