Principal Investigator(s): Sarno, Lucio, University of Warwick. Centre for Economic Policy Research (CEPR); Thornton, Daniel L., Federal Reserve Bank of St. Louis
Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that, if the SVAR includes one or more variables that are efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied. The authors argue that this analysis will likely apply to VARs that include variables that are consistent with weaker forms of the efficient market hypothesis, especially when the data are measured at the monthly or quarterly frequencies, as is frequently the case.
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Sarno, Lucio, and Daniel L. Thornton. The Efficient Market Hypothesis and Identification in Structural VARs. ICPSR01295-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2004-06-04. http://doi.org/10.3886/ICPSR01295.v1
Persistent URL: http://doi.org/10.3886/ICPSR01295.v1
Scope of Study
Subject Terms: economics
Data Collection Notes:
The file submitted is the data file 0401dtd.txt. These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
Original ICPSR Release: 2004-06-04
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