Advances in Using Vector Autoregressions to Estimate Structural Magnitudes
Christiane Baumeister, James D. Hamilton
Econometric Theory,
im Erscheinen
Abstract
This paper surveys recent advances in drawing structural conclusions from vector autoregressions (VARs), providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock.
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01.07.2020 • 11/2020
IWH untersucht Folgen des Kohleausstiegs in Europa
Wie verändert der Kohleausstieg die Gesellschaft – und wie kann Politik darauf reagieren? Diese Fragen untersuchen
14 europäische Partner in einem neuen interdisziplinären Forschungsprojekt. Dabei wird das Leibniz-Institut für Wirtschaftsforschung Halle (IWH) ökonomische Folgen wie Arbeitslosigkeit und Abwanderung für ausgewählte Kohleregionen Europas analysieren. Die EU fördert das Gesamtprojekt für drei Jahre mit knapp drei Millionen Euro.
Oliver Holtemöller
Pressemitteilung lesen
Benchmark Value-added Chains and Regional Clusters in R&D-intensive Industries
Reinhold Kosfeld, Mirko Titze
International Regional Science Review,
Nr. 5,
2017
Abstract
Although the phase of euphoria seems to be over, policy makers and regional agencies have maintained their interest in cluster policy. Modern cluster theory provides reasons for positive external effects that may accrue from interaction in a group of proximate enterprises operating in common and related fields. Although there has been some progress in locating clusters, in most cases only limited knowledge on the geographical extent of regional clusters has been established. In the present article, we present a hybrid approach to cluster identification. Dominant buyer–supplier relationships are derived by qualitative input–output analysis from national input–output tables, and potential regional clusters are identified by spatial scanning. This procedure is employed to identify clusters of German research and development-intensive industries. A sensitivity analysis reveals good robustness properties of the hybrid approach with respect to variations in the quantitative cluster composition.
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Incubating an Illusion? Long-term Incubator Firm Performance after Graduation
Michael Schwartz
Growth and Change,
Nr. 4,
2011
Abstract
Local economic development policies worldwide perceive business incubation as an effective measure to promote regional growth through the support of young and innovative ventures. The common assumption is that incubation promotes firm growth, in particular after these firms graduated from their incubator organizations. This article investigates the long-term performance of 324 graduate firms from five German business incubators (incubated between 1990 and 2006) after they have (successfully) completed their incubation. The present study does not suffer from a survivor bias, meaning that performance data of non-surviving firms is also included. Using employment and sales measures as performance indicators, this study contributes to our knowledge with regard to long-term incubator firm performance after graduation. While in the first years after graduation there is significant growth of formerly incubated firms, further results do not support the presumption of continuous firm growth beyond incubation. A minority of graduate firms exhibits a strong increase in performance, but the majority of firms do not experience considerable growth.
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Does too much Transparency of Central Banks Prevent Agents from Using their Private Information Efficiently?
Axel Lindner
IWH Discussion Papers,
Nr. 16,
2007
Abstract
This paper analyses in a simple global games framework welfare effects of different communication strategies of a central bank: it can either publish no more than its overall assessment of the economy or be more transparent, giving detailed reasons for this assessment. The latter strategy is shown to be superior because it enables agents to use private information and to be less dependent on common knowledge. This result holds true even if the strategies of agents are strategic complements, for which case it has been argued that too much transparency might induce agents to neglect their private knowledge.
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Does Transparency of Central Banks produce Multiple Equilibria on Currency Markets?
Axel Lindner
Scandinavian Journal of Economics,
Nr. 1,
2006
Abstract
A recent strand of literature shows that multiple equilibria in models of markets for pegged currencies vanish if there is slightly diverse information among traders; see Morris and Shin (2001). It is known that this approach works only if the common knowledge in the market is not too precise. This has led to the conclusion that central banks should try to avoid making their information common knowledge. We develop a model in which more transparency of the central bank implies better private information, because each trader utilises public information according to her own private information. Thus, transparency makes multiple equilibria less likely.
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Does Transparency of Central Banks Produce Multiple Equilibria on Currency Markets?
Axel Lindner
IWH Discussion Papers,
Nr. 178,
2003
Abstract
A recent strand of literature (see Morris and Shin 2001) shows that multiple equilibria in models of markets for pegged currencies vanish if there is slightly diverse information between traders. It is known that this approach works only if there is not too precise common knowledge in the market. This has led to the conclusion that central banks should try to avoid making their information common knowledge. We present a model in which more transparency of the central bank means better private information, because each trader utilizes public information according to her own private information. Thus, transparency makes multiple equilibria less likely.
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