TY  - JOUR
VL  - 34
PB  - Elsevier
Y1  - 2019/10//
A1  - Portier, F
A1  - Beaudry, P
A1  - Fève, P
A1  - Guay, A
N2  - In SVARs, identification of structural shocks can be subject to nonfundamentalness, as the econometrician may have an information set smaller than the economic agents' one. How serious is that problem from a quantitative point of view? In this paper we propose a simple diagnostic for the quantitative importance of nonfundamentalness in structural VARs. The diagnostic is of interest as nonfundamentalness is not an either/or question, and its quantitative implications can be more or less severe. As an illustration, we apply our diagnostic to the identification of TFP news shocks and we find that nonfundamentalness is of little quantitatively importance in that context.
JF  - Review of Economic Dynamics
EP  - 243
AV  - public
ID  - discovery10071934
N1  - This version is the author accepted manuscript. For information on re-use, please refer to the publisher?s terms and conditions.
KW  - NonFundamentalness
KW  -  Business cycles
KW  -  SVARs
KW  -  News shocks
TI  - When is Nonfundamentalness in SVARs a Real Problem?
SP  - 221
UR  - https://doi.org/10.1016/j.red.2019.03.011
ER  -