Identification, Long-Run Relations, and Fundamental Innovations in a Simple Cointegrated System
在一个四变量协整VAR模型中，利用协整秩和宏观经济教科书关系识别出永久性和暂时性创新，分别对应技术/供给冲击、需求冲击和通胀预期冲击，并通过历史分解揭示各冲击在不同时期的重要性。
This paper examines the roles played by innovations identified from a simple four-variable VAR characterized by cointegration. Using knowledge of cointegration rank and “textbook” relations that link macroeconomic aggregates, we identify distinct “real” and “nominal” innovations that dictate the long-run behavior of the model. We also examine the explanatory power of transitory innovations that are orthogonal to these permanent shocks. One of the permanent shocks displays all the characteristics of a technology or “supply” innovation, while one of the transitory innovations--identified by imposing short-run price rigidity--is interpretable as a “demand” side impulse. The permanent nominal shock bears the imprint of an innovation in aggregate inflation expectations. Historical decomposition and comparison with variables that are external to the model reveals the relative importance of the shocks at various episodes. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology