Topics in Structural VAR Econometrics
In recent years a growing interest in the structural V AR approach (SV AR) has followed the path-breaking works by Blanchard and Watson (1986), Bernanke (1986) and Sims (1986), especially in the U.S. applied macroeconometric literature. The approach can b
- PDF / 15,402,764 Bytes
- 194 Pages / 439 x 666 pts Page_size
- 62 Downloads / 241 Views
Springer
Berlin Heidelberg New York Barcelona Budapest Hong Kong London Milan Paris Santa Clara Singapore Tokyo
Gianni Amisano . Carlo Giannini
Topics in Structural VAR Econometrics Second, Revised and Enlarged Edition With 13 Figures and 7 Tables
i
Springer
Gianni Amisano Dipartimento di Scienze Economiche Universita di Brescia Via Porcellaga, 21 25121 Brescia, Italy [email protected] Carlo Giannini Dipartimento di Economia Politka e Metodi Quantitativi Universita di Pavia Via S. Felice, 5 27100 Pavia, Italy [email protected] ipv.it
LIbrary of Congress Cat a loglng -I n-Pu bllcltlon D.tl Glaonl. 1963TopIc S In structural VAR econou trlcs. -- 2nd, rlv . and enl. ecl. GIannI Allsano. Carlo GIannInI.
A~ISlOO .
p.
CI.
Rev . e d. of , GIannInI . Carlo . TopICS In structural VAR eeonoaetrlCS . cl992. Includes bIblIographIcal references. ISBN-13: 978-3-642-64481-8 e-ISBN-13: 978-3-642-60623-6 DOl: 10.1007/978-3-642-60623-6 It. GIanninI. I. GIannInI. Carlo. 1948I. Econoutrlcs . TopiCS In str uc tu ral VAR aconoaerrles_ Carlo, 1948III. TItle.
1-«1 139.G53
1997 330' .OI·S19S--dc21
96-534 14
ISBN -13:978-3-642-64481-8 Springer-Verlag Berlin Heidelberg New York This work is subjecl to copyrigh1. All rights are reserved, wh elher the whole or part of the material is concerned, sptdfkaUy the rights of translation, reprinting, reu~ of illustrations, reci tation, broadcasting, reproduction on miaofilm or in any olher way, and storage in data banks. Duplication of Ihis publiulic>n or parts thereof is pelmined only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must ilways be obtained from Springer-Verlag. Violations are liablt for prosecution under the Guman Copyright Law.
o Springer-Verlag Berlin · Heidelberg 1997 Softcover reprint ofthc hardcover 2nd edi tion \997 The use of general descriptive names, registered names, trademarks, dc. in this publication does not imply, even in the absence of a specifit statement, that suth names are exempt from the relevant protective laws and regulatiolls and therefore free for general use. Hardcover-Design: Erich Kir,hner, Heidelberg SPIN 10547525 42/2202-5 4 3 2 I
0Printed on add-free paper
To Anne, Vittoria and Andrea
Foreword In recent years a growing interest in the structural VAR approach (SV AR) has followed the path-breaking works by Blanchard and Watson (1986), Bernanke (1986) and Sims (1986), especially in the U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping, directions: the interpretation of business cycle fluctuations of a small number of significant macroeconomic variables and the identification of the effects of different policies. SVAR literature shows a common feature: the attempt to "organise", in a "structural" theoretical sense, instantaneous correlations among the relevant variables. In non-structural VAR modelling, instead, correlations are normally hidden in the variancecovariance matrix of the VAR model innovati
Data Loading...
