Publication:
Dynamic Effects of Persistent Shocks

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorAlloza, Mario
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorSanz, Carlos
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2019-11-18T15:47:29Z
dc.date.available2019-11-18T15:47:29Z
dc.date.issued2019-11-18
dc.description.abstractWe show that several shocks identified without restrictions from a model, and frequently used in the empirical literature, display some persistence. We demonstrate that the two leading methods to recover impulse responses to shocks (moving average representations and local projections) treat persistence differently, hence identifying different objects. In particular, standard local projections identify responses that includean effect due to the persistence of the shock, while moving average representations implicitly account for it. We propose methods to re-establish the equivalence between local projections and moving average representations. In particular, the inclusion ofleads of the shock in local projections allows to control for its persistence and rendersthe resulting responses equivalent to those associated to counterfactual non-serially correlated shocks. We apply this method to well-known empirical work on fiscal andmonetary policy and find that accounting for persistence has a sizable impact on the estimates of dynamic effects.en
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/29187
dc.identifier.uxxiDT/0000001735es
dc.language.isoengen
dc.relation.ispartofseriesWorking papers. Economicsen
dc.relation.ispartofseries19-17es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC32
dc.subject.jelE32
dc.subject.jelE52
dc.subject.jelE62
dc.subject.otherImpulse Response Functionen
dc.subject.otherLocal Projectionen
dc.subject.otherShock, Fiscal Policyen
dc.subject.otherMonetary Policyen
dc.titleDynamic Effects of Persistent Shocksen
dc.typeworking paper*
dspace.entity.typePublication
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