Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems

Donald Robertson and Michael Wickens

Oxford Bulletin of Economics and Statistics, 1997, vol. 59, issue 1, 5-27

Abstract: A fundamental distinction can be drawn between real and nominal macroeconomic shocks. The aim of this paper is to identify and measure these two types of shocks and to estimate the response of output growth and inflation to them. A vector autoregression methodology that incorporates long-run identifying restrictions is used. The analysis is carried out for the United States and United Kingdom using annual data since 1869 and quarterly postwar data. The transmission of these shocks between the two countries under different international monetary systems is compared. Copyright 1997 by Blackwell Publishing Ltd

Date: 1997
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