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Aggregate demand gap based on a simple structural VAR model

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  • Cho, Dongchul

Abstract

This paper presents aggregate demand gaps for seven OECD countries using structural VAR estimation. These estimates are far more robust than HP-filtered series–typical estimates for GDP-gaps–and demonstrate that both aggregate demand and supply shocks were important in the recent global financial crisis.

Suggested Citation

  • Cho, Dongchul, 2012. "Aggregate demand gap based on a simple structural VAR model," Economics Letters, Elsevier, vol. 114(2), pages 228-234.
    • Handle: RePEc:eee:ecolet:v:114:y:2012:i:2:p:228-234
    DOI: 10.1016/j.econlet.2011.09.038
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    References listed on IDEAS

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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 655-673, September.
    2. Valerie Cerra & Sweta Chaman Saxena, 2008. "Growth Dynamics: The Myth of Economic Recovery," American Economic Review, American Economic Association, vol. 98(1), pages 439-457, March.
    3. Bennett T. McCallum & Edward Nelson, 1999. "Performance of Operational Policy Rules in an Estimated Semiclassical Structural Model," NBER Chapters, in: Monetary Policy Rules, pages 15-56, National Bureau of Economic Research, Inc.
    4. John B. Taylor, 1999. "A Historical Analysis of Monetary Policy Rules," NBER Chapters, in: Monetary Policy Rules, pages 319-348, National Bureau of Economic Research, Inc.
    5. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1, March.
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    Cited by:

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    2. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    3. Sen Zhang & Yangyang Ji & Tianye Lin, 2019. "The relative price of investment goods, the price level, and the "slope puzzle"," CEMA Working Papers 609, China Economics and Management Academy, Central University of Finance and Economics.

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    More about this item

    Keywords

    Aggregate demand gap; Structural VAR; End-point problem;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General

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