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Fuentes de variabilidad en las principales economías occidentales

En este trabajo se analiza la importancia relativa de los shocks de demanda y de oferta en los países del G7 más España y Suiza, mediante la técnica de los modelos VAR estructurales. Al encontrarse una relación de cointegración entre PIB e in.ación, se estima un modelo VECM para cada país, reduciéndose de esta forma el número de restricciones necesarias para identi.car las perturbaciones. Los resultados obtenidos señalan un importante papel de los shocks de oferta en la variabilidad del PIB, incluso en el corto plazo. Al ampliar el sistema con una magnitud monetaria los resultados son fundamentalmente similares. (Copyright: Fundación SEPI)

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Article provided by Fundación SEPI in its journal Investigaciones Economicas.

Volume (Year): 27 (2003)
Issue (Month): 3 (September)
Pages: 565-591

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Handle: RePEc:iec:inveco:v:27:y:2003:i:3:p:565-591
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  1. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers 870, Cowles Foundation for Research in Economics, Yale University.
  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. Balmaseda, Manuel & Dolado, Juan J & Lopez-Salido, J David, 2000. "The Dynamic Effects of Shocks to Labour Markets: Evidence from OECD Countries," Oxford Economic Papers, Oxford University Press, vol. 52(1), pages 3-23, January.
  4. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-40, September.
  5. Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
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  7. Juan J. Dolado & J. David López-Salido & Juan L. Vega, 2000. "Unemployment and inflation persistence in Spain: Are there Phillips trade-offs?," Spanish Economic Review, Springer;Spanish Economic Association, vol. 2(3), pages 267-291.
  8. Shiller, Robert & Campbell, John, 1988. "Interpreting Cointegrated Models," Scholarly Articles 3221492, Harvard University Department of Economics.
  9. Javier Andrés & Ricardo Mestre & Javier Vallés, 1997. "Monetary Policy and Exchange Rate Dynamics in the Spanish Economy," Working Papers 9727, Banco de España;Working Papers Homepage.
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  12. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
  13. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  14. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
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