“Reassessing structural vars” (joint work with Mario Forni and Luca Gambetti) by Luca Sala

2017-02-02 10:19:05

Dear students, faculty and staff, you are welcome to attend to the first “Joint Department of Economics and Graduate School of Business Research Seminar” 

“REASSESSING STRUCTURAL VARS: BEYOND THE ABC’S (AND D’S)” (joint work with Mario Forni and Luca Gambetti) by Luca Sala

WHEN: Thursday, February 2nd, 11 a.m. – 12.30 p.m.

WHERE: Block C3 (GSB/GSPP Building), 3rd floor, Room 3038

Seminar Announcement (Luca Solo)

ABSTRACT:

The conditions of validity of structural VAR techniques are less restrictive than usually believed. A shock of interest can be recovered, either exactly or with good approximation, even when invertibility does not hold or there are less variables in the VAR than shocks in the macroeconomy. We state the conditions under which a VAR is informative enough to estimate a shock (along with the impulse response functions) and show how to measure its informational content. By using a seven-shock DSGE model, we show that the information provided by a VAR may differ dramatically across shocks: the VAR may perform well for some shocks and badly for others. We then use an informationally sufficient VAR for validation purposes. We find that the transmission mechanism of news shocks predicted by the theory is in line with empirical evidence.

SPEAKER:

Luca Sala earned degree in Economics from Università Bocconi (1997). Dottorato in Economia Politica from Università di Pavia. PhD in Economics and Statistics, ECARES, Université Libre de Bruxelles, 2003. Associate Professor at the “Ettore Bocconi” Department of Economics. Research Fellow of IGIER (Innocenzo Gasparini Institute for Economic Research). He took part in Graduate Research Program of European Central Bank and was Visiting Student at Tel Aviv University. Visiting scholar at the Department of Economics, New York University. He taught at the Università Nova de Lisboa and University of Oslo. He did research at the European Central Bank and Norges Bank.