The paper analyses the relationship between shadow economy and unemployment rates using a Structural VAR approach for quarterly data during the period 2000-2010. The size of Romanian shadow economy is estimated using the currency demand approach based on VECM models, stating that its size is decreasing over the analyzed period, from 36.5% at the end of 2000 to about 31.5% of real GDP at the mid...

We use Hasbrouck (1991)’s vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade related information, and the positive autocorrelation...

This paper examines the usefulness of applying structural vector autoregressions (SVARs) to the study of business cycles. The SVAR approach aims to provide robust inferences, by imposing only weak theoretical restrictions. We illustrate that the robustness of conclusions drawn from SVAR exercises are questionable. We also examine the problem of identification failure in structural VAR models. ©...

This study examines the nature of competition between the two leading brands of a national small size market by estimating shortand long-term competitive reactions via a Structural VAR (SVAR) model. The primary findings indicate how the two competitors react, which marketing instruments are used, and when competitive reactions affect crossand own-sales. The empirical results suggest that compet...

This paper investigates the sources of the substantial decrease in output growth volatility in the mid-1980s by identifying which of the structural parameters in a representative New Keynesian and Structural VAR models changed. Overturning conventional wisdom, we show that the Great Moderation was not only due to changes in shocks volatilities but also to changes in monetary policy parameters a...

In the paper we use the set of models Ω defined in Definition 3 in Section 4. In Section 5.4 we also report findings conditional on the set of models Ω̃. In this online appendix we give the details of the exercise conditional on Ω̃. The motivation for this exercise is the following. The set of models Ω̃ is larger than the set of models Ω. In particular, Ω includes models with one Granger-noncausal...

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger non-causality in a VAR model fail...

Motivated by the growing interconnection between online platforms, we examine the dynamic interplay between social buzz and contribution behavior in the crowdfunding context. Since the utility of crowdfunding projects is usually difficult to ascertain, prospective backers draw on quality signals, such as social buzz and prior-contribution behavior, to make their funding decisions. We employ the...

We have prepared an appendix to address the proofs for Proposition 3, Theorems 1 and 2 which we provide in the following sections. For this purpose we will use a few extra notations which we define here. We will use τN (A) for the normalised trace of a square matrix A of order N and we drop N when there is no confusion. In addition, we derive analytic expressions of the VAR model in the last se...

We review, under a historical perspective, the developement of the problem of nonfundamentalness of Moving Average (MA) representations of economic models, starting from the work by Hansen and Sargent [1980]. Nonfundamentalness typically arises when agents’ information space is larger than the econometrican’s one. Therefore it is impossible for the latter to use standard econometric techniques,...