Is economic recovery a myth? : Robust estimation of impulse responses

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2014
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Teulings, Coen N.
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We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to misspecifications of the data-generating process, this method suffers from a hitherto unnoticed bias which increases with the forecast horizon. We propose a correction to this bias and show through simulations that it works well. Applying our corrected local projections estimator to the data from a panel of 99 countries observed between 1974 and 2001, we find that an average banking crisis yields a GDP loss of just under 10% in 10 years, with little sign of recovery. Like the original local projections method, our extension of it is widely applicable.

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ISO 690TEULINGS, Coen N., Nick ZUBANOV, 2014. Is economic recovery a myth? : Robust estimation of impulse responses. In: Journal of Applied Econometrics. 2014, 29(3), pp. 497-514. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.2333
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@article{Teulings2014econo-37156,
  year={2014},
  doi={10.1002/jae.2333},
  title={Is economic recovery a myth? : Robust estimation of impulse responses},
  number={3},
  volume={29},
  issn={0883-7252},
  journal={Journal of Applied Econometrics},
  pages={497--514},
  author={Teulings, Coen N. and Zubanov, Nick}
}
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