Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122012
Authors: 
Chen, Wenjuan
Netsunajev, Aleksei
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-043
Abstract: 
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.
Subjects: 
smooth transition VAR models
identification via heteroskedasticity
long-run neutrality
aggregate demand
aggregate supply
JEL: 
C32
Document Type: 
Working Paper

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