Dynamic Effects of Persistent Shocks

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Tác giả: Mario Alloza, Jesus Gonzalo, Carlos Sanz

Ngôn ngữ: eng

Ký hiệu phân loại: 155.93 Influence of specific situations

Thông tin xuất bản: 2020

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 164734

Comment: 37 pages, 2 Tables, 5 Figures and 34 pages of AppendixWe provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re-establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well-known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.
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