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...

This paper develops a model for optimal capital investment in continuous time when both existing and new capital stocks are subject to uncertainty. The model is generalized to allow for large and infrequent changes in the dynamics of the capital stock, which may arise as a result of natural and...

Two structural cointegrated models of consumption, labor income and wealth are specified and estimated with US data using the approach of Pagan and Pesaran (2008). We find that consumption and labor income are weakly exogenous in the estimated reduced form model and show that this imposes...

This paper considers structural models when both I(1) and I(0) variables are present. The structural shocks associated with either set of variables could be permanent or transitory. We therefore classify the shocks as (P1,P0) and (T1,T0), where P/T distinguishes permanent and transitory, while...

We show that the two-variable VAR model of Blanchard and Quah (1989) produces results identical to those based on the Sims (1980) orthogonalization if the first-ordered variable is not caused in the long run by the second-ordered variable. Some illustrative examples are provided to demonstrate...

The purpose of this paper is to estimate the output cost associated with lowering inflation for Australia. The paper is particularly motivated by a strand of theoretical and empirical evidence in the literature suggesting nonlinearity in the output-inflation relationship, namely, a nonlinear...