On the long-run neutrality of demand shocks

Wenjuan Chen and Aleksei Netšunajev

Economics Letters, 2016, vol. 139, issue C, 57-60

Abstract: We revisit the seminal paper by Blanchard and Quah (1989) and investigate their long-run identification scheme. We use a structural VAR model with smoothly changing covariances for the identification of shocks. Formal testing rejects the long-run neutrality of demand shocks.

Keywords: Smooth transition VAR models; Identification via heteroskedasticity; Long-run neutrality (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Working Paper: On the long-run neutrality of demand shocks (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:139:y:2016:i:c:p:57-60

DOI: 10.1016/j.econlet.2015.11.039

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