Event Details

Title: Non-Gaussianity in Structural VAR models: an analysis of macroeconomic shocks

Abstract: We study what shows drive the US business cycle using a vector autoregressive model with t distributed shocks. We first show that a simple reparametrization allows for the development of the first Gibbs sampler for this model. This improves upon existing methods that require a computationally more demanding Metropolis-Hastings step. We then illustrate our methodology using simulated data. Our application to US data suggests that there is no such thing as a single, main business cycle. No shock explains more than 20% of the variability of GDP, with the largest role played by a weakly-inflationary demand shock