[datascience] Seminar by Alain Hecq on Tuesday May 5 at 5 pm at Via Lucullo 11

["Gianluca Cubadda" < >]

Dear all,

Please be reminded that the next seminar will take place on Tuesday, May 5 at 5 pm at Tor Vergata's facilities in Via Lucullo 11, 00187 Rome.

 

Speaker: Alain Hecq, Maastricht University

Title: On Noncausal Structural VARs in Macro-Finance

 

Abstract: In this paper, we revisit the well-known small VAR model investigated by Stock and Watson (2001) and we test whether the shocks identified by the authors could have also been noncausal. We focus on the existence of noncausal components identified by the generalized covariance (GCov) estimator. Since it is observed in the literature that GCov may suffer from estimation instabilities, we first evaluate the small-sample performance of the GCov estimator for a VAR(2) framework. Next, we detect the presence of noncausal components in the Stock and Watson three-dimensional VAR model under the different Taylor rule specifications considered in their analysis. Then, we introduce a VARX factor-filtering approach and show that removing common macroeconomic components eliminates noncausality, both in simulations and empirical applications. Finally, we compare impulse responses from the filtered and original data to evaluate how factor filtering affects the transmission of monetary policy shocks.

We look forward to seeing you there.

The Organizing Committee

Christian T. Brownlees
Gianluca Cubadda

Massimo Franchi
Tommaso Proietti
Paolo Santucci de Magistris

Giuseppe Ragusa

 

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