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What moves GNP?

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  • Harald Uhlig

Abstract

This 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 Info

Paper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 636.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nawm04:636

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Related research

Keywords: VAR; factor models; impulse responses; identification; macroeconomic shocks;

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Cited by:
  1. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  2. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  3. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).

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