The Efficient Market Hypothesis and Identification in Structural VARs (ICPSR 1295)

Published: Jun 4, 2004 View help for published

Principal Investigator(s): View help for Principal Investigator(s)
Lucio Sarno, University of Warwick. Centre for Economic Policy Research (CEPR); Daniel L. Thornton, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01295.v1

Version V1

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.

Sarno, Lucio, and Thornton, Daniel L. The Efficient Market Hypothesis and Identification in Structural VARs. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2004-06-04. https://doi.org/10.3886/ICPSR01295.v1

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote
Inter-university Consortium for Political and Social Research

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.

2004-06-04

2004-06-04

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • 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

Notes

  • These data are flagged as replication datasets 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.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.

ICPSR logo

This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.