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Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach

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  • DR. GODWIN CHUKWUDUM NWAOBI

    (QUANTITATIVE ECONOMIC RESEARCH BUREAU, NIGERIA)

Abstract

A controversial result of some current research on the real business cycles is the claim that a common stochastic trend(the cumulative effect of permanent shocks to productivity)underlies the bulk of economic fluctuations. If confirmed, this will imply that many other forces have been relatively unimportant over historical business cycles(including the monetary and fiscal policy shocks in traditional macroeconomic analysis). This paper therefore proposes to use a longrun restriction implied by a large class of real business cycle models(identifying permanent productivity shocks as shocks to the common stochastic trends in output, consumption and investment) to provide new evidence on this question(using subsaharan africa as a case study).

Suggested Citation

  • Dr. Godwin Chukwudum Nwaobi, 2004. "Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach," Macroeconomics 0406008, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpma:0406008
    Note: Type of Document - pdf; pages: 17. THIS IS A PROPOSED RESEARCH FOR PROFESSIONAL COMMENTS
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    References listed on IDEAS

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    Cited by:

    1. Godwin Nwaobi, 2004. "Money and output interaction in Nigeria: an econometric investigation using multivariate cointegration technique," Economics Bulletin, AccessEcon, vol. 3(30), pages 1-10.
    2. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, University Library of Munich, Germany.
    3. repec:ebl:ecbull:v:3:y:2004:i:30:p:1-10 is not listed on IDEAS

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    More about this item

    Keywords

    REAL BUSINESS CYCLES; LONGRUN RESTRICTION; PRODUCTIVITY SHOCKS; INVESTMENT; CONSUMPTION; OUTPUT; STOCHASTIC TREND; SUBSAHARAN AFRICA; FISCAL AND MONETARY POLICY; ECONOMIC FLUCTUATION;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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