What moves GNP?
AbstractThis paper aims at identifying the main shocks, which cause movements in real GNP. It does so by searching for two shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP for horizons between 0 and 5 years. We find that two shocks can typically explain more than 90\% of the variance at all horizons for real GNP. While one shock looks like a productivity shock in the line of the real business cycle literature, the other one seems to be wage-push or inflationary shock, unrelated to consumption or government spending and not induced by monetary policy. While the first shock can be viewed as a ''supply shock'', the second shock does not have an obvious ''demand shock'' interpretation.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 636.
Date of creation: 11 Aug 2004
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VAR; factor models; impulse responses; identification; macroeconomic shocks;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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