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The Efficient Market Hypothesis and Identification in Structural VARs

Version
v0
Resource Type
Dataset : survey data
Creator
  • Sarno, Lucio (University of Warwick. Centre for Economic Policy Research (CEPR))
  • Thornton, Daniel L. (Federal Reserve Bank of St. Louis)
Other Title
  • Archival Version (Subtitle)
Publication Date
2004-06-04
Language
English
Free Keywords
economics
Description
  • Abstract

    Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that, if the SVAR includes one or more variables that are efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied. The authors argue that this analysis will likely apply to VARs that include variables that are consistent with weaker forms of the efficient market hypothesis, especially when the data are measured at the monthly or quarterly frequencies, as is frequently the case.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Collection Mode
  • The file submitted is the data file 0401dtd.txt. These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Delivery
This version of the study is no longer available on the web. If you need to acquire this version of the data, you have to contact ICPSR User Support (help@icpsr.umich.edu).
Alternative Identifiers
  • 1295 (Type: ICPSR Study Number)
Relations
  • Is previous version of
    DOI: 10.3886/ICPSR01295.v1
Publications
  • Sarno, Lucio, Thornton, Daniel L.. The efficient market hypothesis and identification in structural VARs. Federal Reserve Bank of St. Louis Review.86, (1), 49-60.2004.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Sarno, Lucio; Thornton, Daniel L. (2004): The Efficient Market Hypothesis and Identification in Structural VARs. Archival Version. Version: v0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01295