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Relative importance of foreign and domestic shocks in the Venezuelan economy

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  • José U. Mora

    ()
    (Department of Economics, University of Vermont. Departamento de Economía, Universidad de Los Andes)

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    Abstract

    This paper uses a Cholesky Factorization in a var analysis to investigate the relative importance of foreign and domestic shocks in the Venezuelan economy during the 1960:i- 2004:ii period. The economy is assumed to be driven by foreign (U. S. gdp and oil prices) and domestic (exchange rate, fiscal, monetary, inflation, and output) orthogonal shocks. As shown by the empirical evidence foreign shocks tend to be relatively more important than domestic shocks. Precisely, oil price and U. S. gdp shocks tend to have permanent effects on the main macroeconomic aggregates. Monetary policy only has temporary effects on output and the nominal exchange rate.

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    Bibliographic Info

    Article provided by Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela in its journal Economia.

    Volume (Year): 33 (2008)
    Issue (Month): 25 (january-june)
    Pages: 61-86

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    Handle: RePEc:ula:econom:v:33:y:2008:i:25:p:61-86

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    Postal: Facultad de Ciencias Económicas y Sociales. Instituto de Investigaciones Económicas y Sociales. Campus Universitario Liria, Edificio G, Tercer Nivel. Mérida 5101, Estado Mérida, Venezuela
    Phone: +58 74 401111 ext. 1081
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    Related research

    Keywords: Time-series models; business fluctuations; latin american economies.;

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    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
    2. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April.
    3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    4. Cecchetti, Stephen G & Karras, Georgios, 1994. "Sources of Output Fluctuations during the Interwar Period: Further Evidence on the Causes of the Great Depression," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 80-102, February.
    5. Olivier J. Blanchard & Mark W. Watson, 1987. "Are Business Cycles All Alike?," NBER Working Papers 1392, National Bureau of Economic Research, Inc.
    6. Karras, Georgios, 1993. "Sources of U.S. macroeconomic fluctuations: 1973-1989," Journal of Macroeconomics, Elsevier, vol. 15(1), pages 47-68.
    7. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
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