What moves GNP?
Harald Uhlig ()
No 636, Econometric Society 2004 North American Winter Meetings from Econometric Society
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)
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:636
Access Statistics for this paper
More papers in Econometric Society 2004 North American Winter Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().