Arbeitspapier
On the long-run neutrality of demand shocks
Long run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use structural VAR models with smoothly changing covariances for identification of shocks. The resulted impulse responses are economically meaningful. Formal test results reject the long-run neutrality of demand shocks.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2015-043
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
smooth transition VAR models
identification via heteroskedasticity
long-run neutrality
aggregate demand
aggregate supply
- Event
-
Geistige Schöpfung
- (who)
-
Chen, Wenjuan
Netsunajev, Aleksei
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chen, Wenjuan
- Netsunajev, Aleksei
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2015
Other Objects (12)
On the Long-run Neutrality of Demand Shocks
Long-run money demand
Long-run money demand redux
Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve
Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve
Long-run Investment under Uncertain Demand
Long-run money demand in Switzerland
The long-run demand for M2 reconsidered
Long-Run and Short-Run Demand Response, Discount Rate, and Pricing
Stronger evidence of long-run neutrality: A comment on Bernanke and Mihov
A note on the long-run neutrality of monetary policy: new empirics
Regularity and Long-run Dynamics in Consumer Demand Systems
On the Long-run Neutrality of Demand Shocks
Long-run money demand
Long-run money demand redux
Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve
Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve
Long-run Investment under Uncertain Demand
Long-run money demand in Switzerland
The long-run demand for M2 reconsidered
Long-Run and Short-Run Demand Response, Discount Rate, and Pricing
Stronger evidence of long-run neutrality: A comment on Bernanke and Mihov
A note on the long-run neutrality of monetary policy: new empirics
Regularity and Long-run Dynamics in Consumer Demand Systems
On the Long-run Neutrality of Demand Shocks
Long-run money demand
Long-run money demand redux
Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve
Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve
Long-run Investment under Uncertain Demand
Long-run money demand in Switzerland
The long-run demand for M2 reconsidered
Long-Run and Short-Run Demand Response, Discount Rate, and Pricing
Stronger evidence of long-run neutrality: A comment on Bernanke and Mihov
A note on the long-run neutrality of monetary policy: new empirics