The

Roberts, John M

The

John M Roberts

International Economic Review, 1993, vol. 34, issue 4, 923-34

Abstract: Long-run restrictions can be imposed on a vector autoregressive model to identify structural macroeconomic shocks, as first proposed by Olivier Blanchard and Danny Quah (1989). Here, the author uses restrictions motivated by Milton Friedman's remark that 'Inflation is always and everywhere a monetary phenomenon'to identify low-frequency movements in inflation with changes in the central bank's desired inflation rate. The author can then determine the portion of U.S. business-cycle fluctuations that results from changes in the inflation target. As well, he extends the Blanchard-Quah technique to overidentified models using an asymptotically efficient minimum-distance approach. Copyright 1993 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1993
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