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The Efficient Market Hypothesis and Identification in Structural VARs

Resource Type
Dataset : survey data
  • Sarno, Lucio (University of Warwick. Centre for Economic Policy Research (CEPR))
  • Thornton, Daniel L. (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
Free Keywords
  • 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


    • 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.

This study is freely available to the general public via web download.
Alternative Identifiers
  • 1295 (Type: ICPSR Study Number)
  • 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. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.