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Productivity Shocks and Aggregate Cycles in an Estimated Endogenous Growth Model
Malley, Jim; Woitek, Ulrich - 2009
two technology shocks in the human capital model is greater than the Hicks-neutral shock in the RBC model in the medium …
Persistent link: https://www.econbiz.de/10014207350
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Productivity, energy prices, and the great moderation: A new link
Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2008
We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has...
Persistent link: https://www.econbiz.de/10010292361
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International real business cycles and increasing returns to scale: A formal analysis using likelihood methods
Bangs, Joann; Landon-Lane, John - 2002
One of the more common methods used to model international real business cycles is through the use of a dynamic stochastic general equilibrium (DSGE) model. Guo and Sturzenegger (1998) argue that an increasing returns to scale production technology can improve the performance of such a model....
Persistent link: https://www.econbiz.de/10010318358
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Overborrowing and systemic externalities in the business cycle
Bianchi, Javier - 2009
Credit constraints that link a private agent’s debt to market-determined prices embody a credit externality that drives a wedge between competitive and constrained socially optimal equilibria, inducing private agents to overborrow. The externality arises because agents fail to internalize the...
Persistent link: https://www.econbiz.de/10010292300
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Cointegrated TFP processes and international business cycles
Rabanal, Pau; Rubio-Ramirez, Juan Francisco; Tuesta, Vicente - 2009
A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that total factor productivity processes for the United States and the rest of the world are...
Persistent link: https://www.econbiz.de/10010292354
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Booms and Busts in EMU
Gottfries, Nils - 2003
A floating exchange rate combined with a clear inflation target can be a powerful stabilizer even if there are fluctuations in exchange rates that are unrelated to current fundamentals. Under plausible conditions, most of the stabilisation will occur through the exchange rate, and fundamental...
Persistent link: https://www.econbiz.de/10010321628
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The Small Open-Economy New Keynesian Phillips Curve: Empirical Evidence and Implied Inflation Dynamics
Mihailov, Alexander; Rumler, Fabio; Scharler, Johann - 2008
This paper applies GMMestimation to assess empirically the small open-economy New Keynesian Phillips Curve derived in Galí and Monacelli (2005). We obtain a testable specification where fluctuations in the terms of trade enter explicitly, thus allowing a comparison of the relevance of domestic...
Persistent link: https://www.econbiz.de/10010294863
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Evaluating dynamic stochastic general equilibrium models using likelihood methods
Landon-Lane, John S. - 2002
. The method is applied to the problem of determining whether the technology shock process in a standard Real Business Cycle … model should consist of permanent or temporary, albeit persistent, shocks. Overall, a permanent shock model has a better … prediction performance than the temporary shock model. However, the model with the temporary shock performs much better for the …
Persistent link: https://www.econbiz.de/10010318355
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Bayesian Estimation of DSGE Models: Is the Workhorse Model Identified?
Caglar, Evren; Chadha, Jagjit S.; Shibayama, Katsuyuki - 2012
this to Smets and Wouters?(2007) medium size US model, we find that while exogenous shock processes are well identified …
Persistent link: https://www.econbiz.de/10010500206
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Energy price shocks and the macroeconomy: The role of consumer durables
Dhawan, Rajeev; Jeske, Karsten - 2006
So far, the literature on dynamic stochastic general equilibrium models with energy price shocks uses energy on the production side only. In these models, energy shocks are responsible for only a negligible share of output fluctuations. We study the robustness of this finding by explicitly...
Persistent link: https://www.econbiz.de/10010292215