What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions
What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions
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是什么导致了千禧年初的经济放缓？
DOI：
10.2139/ssrn.824745
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
G. Peersman
中科院分区：
文献类型：
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作者：
G. Peersman
本文分别对工业化国家、美国和欧元区使用了一些简单的VAR模型来分析可能导致近期经济放缓的潜在冲击。比较了两种识别策略的结果。一种是基于传统的零限制，作为一种替代方案，提出了一种基于最新符号限制的识别方案。主要结论是，最近的经济放缓是由几个冲击共同造成的：负的总供给和总支出冲击，1999年的油价上涨，以及2000年的限制性货币政策。这些冲击在美国比在欧元区更为明显。根据识别策略的不同，结果略有不同。结果表明，传统的零限制可能对某些冲击的估计影响产生影响。
This paper uses a number of simple VAR models for the industrialised world, the United States and the euro area respectively to analyse the underlying shocks that may have caused the recent slowdown. The results of two identification strategies are compared. One is based on traditional zero restrictions and, as an alternative, an identification scheme based on more recent sign restrictions is proposed. The main conclusion is that the recent slowdown was caused by a combination of several shocks: a negative aggregate supply and aggregate spending shock, the increase of oil prices in 1999, and restrictive monetary policy in 2000. These shocks were more pronounced in the United States than the euro area. The results are somewhat different depending on the identification strategy. It is illustrated that traditional zero restrictions can have an influence on the estimated impact of certain shocks.