The Resource The Efficient Market Hypothesis and Identification in Structural VARs

The Efficient Market Hypothesis and Identification in Structural VARs

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The Efficient Market Hypothesis and Identification in Structural VARs
Title
The Efficient Market Hypothesis and Identification in Structural VARs
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Summary
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
http://library.link/vocab/creatorName
  • Sarno, Lucio
  • Inter-university Consortium for Political and Social Research [distributor]
http://library.link/vocab/relatedWorkOrContributorName
Thornton, Daniel L.
Label
The Efficient Market Hypothesis and Identification in Structural VARs
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Note
1295
Control code
ICPSR01295.v1
Governing access note
Access restricted to subscribing institutions
Label
The Efficient Market Hypothesis and Identification in Structural VARs
Publication
Note
1295
Control code
ICPSR01295.v1
Governing access note
Access restricted to subscribing institutions

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