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What moves GNP?

Harald Uhlig ()

No 636, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: This paper aims at identifying the main shocks, which cause movements in real GNP. It does so by searching for two shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP for horizons between 0 and 5 years. We find that two shocks can typically explain more than 90\% of the variance at all horizons for real GNP. While one shock looks like a productivity shock in the line of the real business cycle literature, the other one seems to be wage-push or inflationary shock, unrelated to consumption or government spending and not induced by monetary policy. While the first shock can be viewed as a ''supply shock'', the second shock does not have an obvious ''demand shock'' interpretation.

Keywords: VAR; factor models; impulse responses; identification; macroeconomic shocks (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:636

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