Contributions relatives des chocs de demande agrégée et d’offre agrégée aux fluctuations de la croissance réelle en zone CEMAC

Ngomba Bodi, Francis Ghislain (2018): Contributions relatives des chocs de demande agrégée et d’offre agrégée aux fluctuations de la croissance réelle en zone CEMAC.

Abstract

The objective of this paper is to determine the relative importance of aggregate demand and aggregate supply shocks to fluctuations of real growth in CEMAC. The factual analysis of growth in the subregion over the last 20 years shows a dependence on oil prices whose e!ects on growth are channeled by fiscal policy. As a result, supply shocks can displace the demand curve. This facts justifies our original econometric approach, which subdivides each shock into two types : idiosyncratic shocks and common shocks, and builds on Pedroni’s panel SVAR analysis framework (2013), to which we add the proposed identification conditions by Cover, Enders and Hueng (2006). These take into account the possibility of a correlation between aggregate supply shocks and aggregate demand shocks. Three main results are obtained. First of all, aggregate supply and aggregate demand shocks have the same influence on growth in the short and medium term. This shows the existence of a certain flexibility in the scope of the monetary authorities. Moreover, shocks a!ecting all CEMAC economies (common shocks) are almost non-existent. Finally, the correlations of supply and demand shocks are non-zero and invalidate the identification conditions of Blanchard and Quah (1989).

• Item Type: MPRA Paper
• English Title: Relative contributions of aggregate demand and supply shocks to business cycles fluctuations in the CEMAC subregion
• Language: French
• Keywords: supply shocks; demand shocks;, monetary policy, growth; variance decomposition; macroeconomic fluctuations; panel SVAR; shocks correlation
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination

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