MEASURING REAL AND NOMINAL MACROECONOMIC SHOCKS AND THEIR INTERNATIONAL TRANSMISSION UNDER DIFFERENT MONETARY SYSTEMS

Authors
ROBERTSON D WICKENS MR
Citation
D. Robertson et Mr. Wickens, MEASURING REAL AND NOMINAL MACROECONOMIC SHOCKS AND THEIR INTERNATIONAL TRANSMISSION UNDER DIFFERENT MONETARY SYSTEMS, Oxford bulletin of economics and statistics, 59(1), 1997, pp. 5
Citations number
24
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Statistic & Probability","Statistic & Probability
Journal title
Oxford bulletin of economics and statistics → ACNP
ISSN journal
03059049
Volume
59
Issue
1
Year of publication
1997
Database
ISI
SICI code
0305-9049(1997)59:1<5:MRANMS>2.0.ZU;2-O
Abstract
A fundamental distinction can be drawn between real and nominal macroe conomic shocks. The aim of this paper is to identify and measure these two types of shocks, and to estimate the response of output growth an d inflation to them. A VAR methodology that incorporates long-run iden tifying restrictions is used. The analysis is carried out for the US a nd the UK using annual data since 1869 and quarterly post-war data. Th e transmission of these shocks between the two countries under differe nt international monetary systems is compared.