Dynamic Effects of Persistent Shocks

Alloza, Mario; Gonzalo, Jesús; Sanz, Carlos

doi:10.2139/ssrn.3508672

Cited by 22 publications

(16 citation statements)

References 62 publications

(343 reference statements)

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“…It has been argued that, for a true IRF representation, subsequent developments in the shock of interest should be controlled for (Alloza, Gonzalo, and Sanz 2019). Including leading changes in commodity price changes results in larger impacts but does not alter the qualitative channels through which price shocks operate, or the qualitative differences between the transmission channels in each type of commodity exporter.…”

Section: Annex 6c Commodity-driven Productivity Developments: Methodologymentioning

confidence: 99%

Global Productivity: Trends, Drivers, and Policies

Dieppe

2020

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Productivity growth is the key driver of sustainable income growth and poverty reduction. Its effects on human welfare are enormous. While economists agree on the importance of productivity, its measurement and drivers remain elusive. We sometime refer to productivity as a "residual" or even as a "measure of our ignorance." This important book analyzes the trends and drivers of productivity growth, with a special focus on emerging and developing countries. It uses state-ofthe-art econometric techniques and brings together the analysis of a wide range of productivity drivers which, so far, have been analyzed in isolation. It also discusses the impact of COVID-19 on productivity growth. Reading this book will help in reducing our ignorance on the most important driver of human well-being.

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Section: Annex 6c Commodity-driven Productivity Developments: Methodologymentioning

confidence: 99%

Global Productivity: Trends, Drivers, and Policies

Dieppe

2020

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“…Note that in this special case, the LP estimand is unchanged if we drop all control variables in equation (1). However, the projection coefficient

φ_{h}

differs from the LP (and VAR) estimand if

x_{t}

correlates with

r_{t}

or with lags of the data (Alloza, Gonzalo, and Sanz (2019)).…”

Section: Equivalence Between Local Projections and Varsmentioning

confidence: 99%

Local Projections and VARs Estimate the Same Impulse Responses

Plagborg‐Møller¹,

Wolf

2021

ECTA

364

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We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same impulse responses. This nonparametric result only requires unrestricted lag structures. We discuss several implications: (i) LP and VAR estimators are not conceptually separate procedures; instead, they are simply two dimension reduction techniques with common estimand but different finite‐sample properties. (ii) VAR‐based structural identification—including short‐run, long‐run, or sign restrictions—can equivalently be performed using LPs, and vice versa. (iii) Structural estimation with an instrument (proxy) can be carried out by ordering the instrument first in a recursive VAR, even under noninvertibility. (iv) Linear VARs are as robust to nonlinearities as linear LPs.

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“…To construct this experiment, I follow Alloza et al. (2019) and include h leads of the interest rate variable in each LP at time h . The authors show that by including leads of a variable, the researcher is able to hold constant any movement in this variable between time t and time

t+h

.…”

Section: Fiscal Policy During Rmentioning

confidence: 99%

Is Fiscal Policy More Effective During Recessions?

Alloza

2022

Int Economic Review

Self Cite

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This article estimates the impact of government spending shocks on economic activity during periods of boom and recession. I estimate these effects using an eclectic approach that employs (i) different strategies to identify exogenous variation in government spending, (ii) different methods to compute dynamic responses, and (iii) different measures of the state of business cycles. I find that government spending shocks have larger impacts on output during expansions than during recessions. Importantly, I explore the reasons why my results differ from other work in the literature and highlight the empirical implications of the information used to define periods of recession.

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Dynamic Effects of Persistent Shocks

Cited by 22 publications

References 62 publications

Global Productivity: Trends, Drivers, and Policies

Global Productivity: Trends, Drivers, and Policies

Local Projections and VARs Estimate the Same Impulse Responses

Is Fiscal Policy More Effective During Recessions?

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