| Nº Sistema |
000476109 |
| Autor |
 Alloza, Mario |
| Autor |
Gonzalo, Jesús |
|
Sanz, Carlos |
| Título |
Dynamic effects of persistent shocks [Recurso electrónico] / Mario Alloza, Jesús Gonzalo, Carlos Sanz. |
| Publicado en |
Journal of Applied Econometrics [Artículos], v. 40, issue 4, June/July 2025, pp, 380-394 |
| Nota general |
Artículo de revista |
| Resumen |
We provide evidence that many narrative shocks used by prominent literature display some persistence. 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. [Resumen de autor] [eng] |
| Restricciones |
Acceso público y gratuito a la versión electrónica en Internet |
| Acceso electrónico |
 Acceso al texto completo. |
| Relacionado con |
Documentos de Trabajo / Banco de España ; 1944 |
| Clasificación |
E5-Fluctuaciones y ciclos económicos. |
|
E3-Política monetaria. |
|
C3-Métodos Econométricos y Estadísticos. |
| Materia |
Política fiscal |
|
Política monetaria |
