E30

Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)

What Does A Technology Shock Do? A VAR Analysis with Model-based Sign Restrictions

JEL codes: 
C30, E30
Version Date: 
Aug 2004
Author/s: 
Abstract: 

This Paper estimates the effects of technology shocks in VAR models of the United States, Japan and Germany, identified imposing restrictions on the sign of impulse responses. These restrictions are motivated with priors on the parameters of a class of DSGE models with both real and nominal frictions.

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Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

JEL codes: 
E30, F00
Version Date: 
Oct 2003
Abstract: 

This Paper analyses the co-movement in activity, measured by GDP and industrial production, between the G7 countries for the period 1972-2002. For that purpose, a dynamic factor model is estimated using Kalman Filtering techniques.

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