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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. 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.
    2. 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.
    3. 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.
    4. 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.
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    More about this item

    Keywords

    Aggregate demand gap; Structural VAR; End-point problem;

    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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