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What caused the 2000/01 slowdown? Results from a VAR analysis of G7 GDP components

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  • Vincent Labhard

Abstract

In this paper a VAR-based analysis of shocks to G7 GDP components during the 2000/01 slowdown is presented. The patterns of shocks across the components and across the G7 countries are documented, and measures provided of their persistence. The shocks during the preceding expansion are also considered, and are used to discuss possible business cycle asymmetries, and a comparison made with the pattern of shocks during the previous slowdown in 1990. The analysis is then extended to derive shocks to components that explicitly take into account the roles played by monetary policy and oil prices in 2000/01.

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File URL: http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/2003/wp190.pdf
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Paper provided by Bank of England in its series Bank of England working papers with number 190.

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Date of creation: Jun 2003
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Handle: RePEc:boe:boeewp:190

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  1. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May.
  2. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
  4. Ramana Ramaswamy & Christel Rendu, 2000. "Japan's Stagnant Nineties: A Vector Autoregression Retrospective," IMF Staff Papers, Palgrave Macmillan, vol. 47(2), pages 5.
  5. Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
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Cited by:
  1. Gert Peersman, 2005. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 185-207.
  2. David Norman & Thomas Walker, 2004. "Co-movement of Australian State Business Cycles," RBA Research Discussion Papers rdp2004-09, Reserve Bank of Australia.

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