Overview
- Authors:
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Gianni Amisano
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Dipartimento di Scienze Economiche, Università di Brescia, Brescia, Italy
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Carlo Giannini
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Dipartimento di Economia Politica e Metodi Quantitativi, Università di Pavia, Pavia, Italy
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Table of contents (9 chapters)
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Front Matter
Pages i-xiii
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- Gianni Amisano, Carlo Giannini
Pages 1-28
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- Gianni Amisano, Carlo Giannini
Pages 29-39
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- Gianni Amisano, Carlo Giannini
Pages 40-47
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- Gianni Amisano, Carlo Giannini
Pages 48-59
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- Gianni Amisano, Carlo Giannini
Pages 60-77
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- Gianni Amisano, Carlo Giannini
Pages 78-106
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- Gianni Amisano, Carlo Giannini
Pages 107-113
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- Gianni Amisano, Carlo Giannini
Pages 114-130
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- Gianni Amisano, Carlo Giannini
Pages 131-150
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Back Matter
Pages 151-181
About this book
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 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. SV AR literature shows a common feature: the attempt to "organise", in a "structural" theoretical sense, instantaneous correlations among the relevant variables. In non-structural V AR modelling, instead, correlations are normally hidden in the variance covariance matrix of the V AR model innovations. of independent V AR analysis tries to isolate ("identify") a set shocks by means of a number of meaningful theoretical restrictions. The shocks can be regarded as the ultimate source of stochastic variation of the vector of variables which can all be seen as potentially endogenous. Looking at the development of SV AR literature we felt that it still lacked a formal general framework which could embrace the several types of models so far proposed for identification and estimation. This is the second edition of the book, which originally appeared as number 381 of the Springer series "Lecture notes in Economics of the first edition was Carlo and Mathematical Systems". The author Giannini.
Authors and Affiliations
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Dipartimento di Scienze Economiche, Università di Brescia, Brescia, Italy
Gianni Amisano
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Dipartimento di Economia Politica e Metodi Quantitativi, Università di Pavia, Pavia, Italy
Carlo Giannini