 |
Output Adjustment in Developing Countries: a Structural Var Approach
Morling, Steven (2002) Output Adjustment in Developing Countries: a Structural Var Approach. Discussion Paper No 307, School of Economics, The University of Queensland.
|
|
|
Attached Files
(Some files may be inaccessible until you login with your UQ eSpace credentials)
|
| Name |
Description |
MIMEType |
Size |
Downloads |
|
DP307May02.pdf
|
|
DP307May02.pdf
|
|
application/pdf
|
400.30KB
|
518
|
| Author
|
Morling, Steven
|
| Title
|
Output Adjustment in Developing Countries: a Structural Var Approach
|
| School, Department or Centre
|
School of Economics
|
| Institution
|
The University of Queensland
|
| Report Number
|
Discussion Paper No 307
|
| Publication date
|
2002-05-01
|
| Subject
|
340213 Economic Development and Growth
|
| Abstract/Summary
|
This paper examines whether temporary fluctuations in output around potential in developing countries are induced primarily by aggregate demand shocks or temporary aggregate supply
shocks. Structural vector autoregression methodology using long-run restrictions is used to identify temporary output shocks for a large sample of developing countries. Impulse response functions
are used to examine whether the temporary shocks behave like demand or supply shocks. The permanent/transitory decomposition appears to split the shocks into permanent supply shocks, and temporary
demand or supply shocks depending on which influence dominates in a particular country. In a little over half of the countries, temporary shocks behave like temporary aggregate supply shocks; in a
little under half of the countries the temporary shocks behave like aggregate demand shocks.
|
| Keyword
|
Structural vector autoregression methodology
Developing countries
Economic development
Aggregate demand shocks
Aggregate supply shocks
|
| References
|
Ahmed, S. and Park, J.H. (1994) 'Sources of macroeconomic fluctuations in small open economies', Journal of Macroeconomics, 16(1):1-26. Aghevli, B.B., Khan, M.S. and Montiel, P.J.
(1991) 'Exchange rate policy in developing countries: Some Analytical Issues', International Monetary Fund Occasional Paper 78. Bayoumi, T. (1992) 'The effects of the ERM on participating
economies', IMF Staff Papers, 39: 330-56. Bayoumi, T. and Eichengreen, B. (1994) 'Macroeconomic adjustment under Bretton Woods and the post-Bretton Woods float: an impulse-response analysis', The
Economic Journal, 104: 813-27. Bergman, M. (1996) 'International evidence on the sources of macroeconomic fluctuations', European Economic Review, 40: 1237-58. Bernanke, B. (1986) 'Alternative
explanations of the money-income correlation', Carnegie-Rochester Conference Series on Public Policy, 25: 49-100. Blanchard, O.J. and Quah, D. (1989) 'The dynamic effect of aggregate demand and
supply disturbances', American Economic Review, 79: 655-73. Brajer, V. (1992) 'Empirical inflation models in developing countries: sensitivity to the definition of inflation', The Journal of
Development Studies, 28(4):717-29. Butler, L. (1996) 'A semi-structural method to estimate potential output: combining economic theory with a time-series filter', The Bank of Canada's New Quarterly
Projection Model, Part 4, Technical Report 77, Bank of Canada, Ottawa. Chadha, B., Masson, P.R. and Meredith, G. (1992) 'Models of inflation and the costs of disinflation', International Monetary
Fund Staff Papers, 39(2): 395-431. Chadha, B. and Prasad, E. (1993) 'Interpreting the cyclical behaviour of prices', IMF Staff Papers, 40(2): 266-98. Cogley, T. and Nason, J. (1995) 'The effects of
the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research', Journal of Economic Dynamics and Control, 19: 253-78. Conway, P. and Hunt, B.
(1997) 'Estimating potential output: a semi-structural approach', Reserve Bank of New Zealand Discussion Paper G97/9. de Brouwer, G. (1998) 'Estimating output gaps', Reserve Bank of Australia
Research Discussion Paper 9809. De Masi, P. R. (1997) 'IMF estimates of potential output: theory and practice', IMF Working Paper 97/177, International Monetary Fund, Washington. DeSerres, A. and
Guay, A. (1995) 'The selection of the truncation lag in structural vars (or vecms) with long-run restrictions', Bank of Canada Working Paper 95-3. DeSerres, A., Guay, A. and St-Amant, P. (1995)
'Estimating and projecting potential output using structural VAR methodology: the case of the Mexican economy', Bank of Canada Working Paper 95-2. Dickey, D. and Fuller, W.A. (1979) 'Distribution
of the estimates for autoregressive time series with a unit root', Journal of the American Statistical Association, 74: 427-31. Dickey, D. and Pantula, S. (1987) Determining the order of
differencing in autoregressive processes', Journal of Business and Economic Statistics, 15: 455-61. Dupasquier, C., Guay, A. and St-Amant, P. (1997) 'A comparison of alternative methods of
estimating potential output and the output gap,' Bank of Canada Working Paper 97-5. Gali, J. (1992) 'How well does the IS-LM model fit postwar U.S. data?', The Quarterly Journal of Economics,
107(2): 709-38. Garcia-Herrero, A. and Pradhan, M.J. (1998) 'The domestic and foreign price gaps in the P-star model', IMF Working Paper WP/98/64, International Monetary Fund, Washington. Giorno,
C.P., Richardson, P., Roseveare, D. and van den Noord. P. (1995) 'Potential output, output gaps and structural budget balances', OECD Economic Studies, 24: 167-209. Guay, A. and St-Amant, P. (1996)
'Do mechanical filters provide a good approximation of business cycles?' Bank of Canada Technical Report 78. Faust, J. and Leeper, E. (1997) 'When do identifying restrictions give reliable
results', Journal of Business and Economic Statistics, 15: 345-53. Fung, B.S.C. and Kasumovich, M. (1998) 'Monetary shocks in the G-6 countries: is there a puzzle?' Journal of Monetary Economics.
Hendry, S. (1995) 'Long-run demand for M1', Bank of Canada Working Paper 95-11. Heston, A. (1994) 'A brief review of some problems in using national accounts data in level of output comparisons and
growth studies', Journal of Development Economics, 44(1): 29-52. Hoffmaister, A.W. and Roldos, J.E. (1996) 'The sources of macroeconomic fluctuations in developing countries: Brazil and Korea', IMF
Working Paper 96/20, International Monetary Fund, Washington. Hoffmaister, A.W. and Roldos, J.E. (1997) 'Are business cycles different in Asia and Latin America?' IMF Working Paper 97/9,
International Monetary Fund, Washington. Hoffmaister, A.W., Roldos J.E. and Wickham, P. (1996) 'Macroeconomic fluctuations in Sub-Saharan Africa', International Monetary Fund Staff Papers, 45(1):
132-60. International Monetary Fund (2000) International Financial Statistics, Washington, D.C., January. Keating, J.W. and Nye, J.V. (1998) 'Permanent and transitory shocks in real output:
estimates from nineteenth-century and postwar economies', Journal of Money, Credit and Banking, 30(2): 231-51. Kool, C. and Tatom, J.A. (1994) 'The P-star model in five small economies', Federal
Reserve Bank of St. Louis, May/June. Kwiatkowski, D., Phillips P., Schmidt, P. and Shin, Y. (1992) 'Testing the null hypothesis of stationarity against the alternative of a unit root', Journal of
Econometrics, 54: 159-78. Lastrapes, W.D. (1992) 'Sources of fluctuations in real and nominal exchange rates', Review of Economics and Statistics, 20: 530-39. Nickell, S. (1988) 'The supply side
and macroeconomic modeling', in R.C. Bryant et al., Empirical Macroeconomics for Interdependent Economies, Washington, D.C., Brookings Institution, 202-21. Phillips, P.C.B. (1995) 'Impulse response
and forecast error variance asymptotics in nonstationary VARs', Working Paper 1102, Cowles Foundation. Phillips, P.C.B. and Perron, P. (1988) 'Testing for a unit root in a time series regression',
Biometrica, 75: 335-46. Rossana, R.J. and Seater, J.J. (1995) 'Temporal aggregation and economic time series', Journal of Business and Economic Statistics,13(4): 441-451. Said, S.E. and Dickey,
D.A. (1984) 'Testing for unit roots in autoregressive-moving average series of unknown order', Biometrica, 71: 599-607. Shapiro, M.D. and Watson, M.W. (1988) 'Sources of business cycle
fluctuations,' NBER Working Paper 2589. Sims, C. (1986) 'Are forecasting models usable for policy analysis?' Federal Reserve Bank of Minneapolis Quarterly Review, Winter, 3-16. St-Amant, P. and van
Norden, S. (1997) 'Measurement of the output gap: a discussion of recent research at the Bank of Canada', in Monetary Policy and the Inflation Process, BIS Conference Papers, 4, Basle,
1-38.
|
|
|
|
