Since the pioneering research by Blanchard and Quah (1989), the structural vector autoregression (SVAR) model has been widely used in empirical research macroeconomics. Blanchard and Quah (1989) develop a bivariate VAR model in which real GNP is affected by aggregate supply shocks and aggregate demand shocks. Aggregate supply shocks. (productivity shocks) are assumed to have permanent effects on real GNP, while aggregate demand shocks are assumed to have only temporary effects on real GNP. Blanchard and Quah (1989) identify aggregate supply shocks and aggregate demand shocks from VAR estimations with these restrictions imposed, then analyze how each type of shock affects real GNP based on impulse response and forecast error variance. Bayoumi and Eichengreen (1992) and Lastrapes (1992) apply the SVAR model to evaluate the sources behind real and nominal exchange rate fluctuations. [download]
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