Long-run restrictions can be imposed on a vector autoregressive model to identify structural macroeconomic shocks, as first proposed by Olivier Blanchard and Danny Quah (1989). Here, the author uses restrictions motivated by Milton Friedman's remark that 'Inflation is always and everywhere a monetary phenomenon'to identify low-frequency movements in inflation with changes in the central bank's desired inflation rate. The author can then determine the portion of U.S. business-cycle fluctuations that results from changes in the inflation target. As well, he extends the Blanchard-Quah technique to overidentified models using an asymptotically efficient minimum-distance approach. Copyright 1993 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 34 (1993) Issue (Month): 4 (November) Pages: 923-34 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF