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Cited by 133Monetary Policy and Economic ImpactEconomic theories and modelsGlobal Financial Crisis and Policies

Does Information Help Recovering Structural Shocks from past Observations?

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Giannone, Domenico, Reichlin, Lucrezia·2006·Journal of the European Economic Association
DOI 10.1162/jeea.2006.4.2-3.455
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Abstract

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of nonfundamentalness be solved by considering additional information? The answer to the first question is "yes" and that to the second is "under some conditions".

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  • The oil futures spread does not Granger cause the remaining model variables at conventional significance levels for maturities of 1, 3, 6, 9 and 12 months.

    “We formally tested this proposition and were unable to reject the null of no Granger causality at conventional significance levels for maturities of 1, 3, 6, 9 and 12 months, consistent with the view that the inventory data are as accurate as the oil futures spread.”

    From THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2014) · cites this paper as Giannone and Reichlin, 2006

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Authors
Giannone, D., & Reichlin, L.
Affiliations
  • Centre for Economic Policy Research (GB)
  • London Business School (GB)
ORCID
Venue
Journal of the European Economic Association
Publisher
Oxford University Press (OUP)
Published
2006-05-01
Volume
4
Issue
2-3
Pages
455-465
ISSN
  • 1542-4766 (ISSN-L)
  • 1542-4774
DOI
10.1162/jeea.2006.4.2-3.455
OpenAlex
W2171047774
Cited by
133
References
0
Citations by year
2026: 2 · 2025: 6 · 2024: 4 · 2023: 6 · 2022: 2 · 2021: 4 · 2020: 7 · 2019: 8 · 2018: 6 · 2017: 6 · 2016: 8 · 2015: 7 · 2014: 8 · 2013: 14 · 2012: 13
FWCI
14.79
Type
journal article
Language
en
Open access
Licence
doi.wiley.com/10.1002/tdm_license_1 (tdm, 3410 d)
Locations
  • Journal of the European Economic Association (publishedVersion)
  • SSRN Electronic Journal (acceptedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • Econstor (Econstor) (submittedVersion)
  • SSRN Electronic Journal (submittedVersion)
  • Dépôt institutionnel de l'Université libre de Bruxelles (Université Libre de Bruxelles) (submittedVersion, other-oa)
  • Dépôt institutionnel de l'Université libre de Bruxelles (Université Libre de Bruxelles) (submittedVersion)
  • IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli) (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic theories and models
  • Social Sciences › Economics, Econometrics and Finance › Finance › Global Financial Crisis and Policies
Keywords
structural shocks, structural vector autoregression, identification of structural shocks, additional information, impulse response functions

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