This paper proposes a method to estimate the NAIRU for the U.S. It shares the notion of Estrella and Mishkin (1999) that defines the NAIRU as a leading indicator of inflation changes over the policy horizon. Our alternative construction offers a more theoretically sound and practically useful...

Dynamic interactions among the real exchange rate, income and imports are modelled for Australia. Evidence of one cointegrating relationship is found among these series and base structural inferences on long-run identifying restrictions of the type proposed for vector-error correction models by...

This article estimates UK core inflation in a structural Vector Autoregression (VAR) framework. While building on the work of Quah and Vahey (1995), we extend their two-variable VAR model to allow for different dynamics depending on the nature of the shocks that potentially influence the process...

One of the key differences between exogenous and endogenous growth models is that a transitory shock to investment share exhibits different long-run effects on per-capita output. Exploring this difference, the present paper evaluates the empirical relevance of the two growth models for the G-7...

This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks as permanent and transitory, and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a system...

This paper investigates the validity of technology shocks as a driving force of U.S. business cycle fluctuations. Using three well-known structural vector autoregression (SVAR) models, we analyze how structural shocks are associated with the variations of output and hours worked at business...

type="main" xml:id="ecor12096-abs-0001" <p>This study investigates the validity of technology shocks as a driving force of US business cycle fluctuations. Using three well-known structural vector autoregression (SVAR) models, we analyse how structural shocks are associated with the variations of...</p>

In their VAR model, Blanchard and Quah (BQ, 1989) employed uncorrelatedness between Aggregate Supply (AS) and Aggregate Demand (AD) shocks and the long-run output neutrality condition as identifying assumptions. This article conducts a simple Monte Carlo experiment to gauge how well the BQ...