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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; van Dijk, Herman K. - 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...
Persistent link: https://www.econbiz.de/10010326026
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Reale Konjunkturzyklen, Effizienzlöhne und die Rolle von Ölpreisschocks: Eine theoretische und empirische Analyse für Deutschland
Zimmermann, Tobias - 2007
gestellt und von der Real Business Cycle (RBC)-Theorie kurze Zeit später analytisch überwunden. Der empirische Gehalt …-Modellen nur ungenügend erklärt werden können. Tobias Zimmermann zeigt, dass diese Mängel durch eine explizite Modellierung … Grundgedanken der RBC-Theorie bei der praktischen Konjunkturanalyse, und dies weist auch den Weg in eine fundiertere …
Persistent link: https://www.econbiz.de/10011598607
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Monetary policy and stock market boom-bust cycles
Christiano, Lawrence; Ilut, Cosmin; Motto, Roberto; … - 2008
We explore the dynamic effects of news about a future technology improvement which turns out ex post to be overoptimistic. We find that it is difficult to generate a boom-bust cycle (a period in which stock prices, consumption, investment and employment all rise and then crash) in response to...
Persistent link: https://www.econbiz.de/10011605001
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Search in the product market and the real business cycle
Mathä, Thomas Y.; Pierrard, Olivier - 2009
We develop a search-matching model, where firms search for customers (e.g. in form of advertising). Firms use long-term contracts and bargain over prices, resulting in a price mark up above marginal cost, which is pro- cyclical and depends on firms’ relative bargaining power. Product market...
Persistent link: https://www.econbiz.de/10011605082
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Real Business Cycles with a Human Capital Investment Sector and Endogenous Growth: Persistence, Volatility and Labor Puzzles
Dang, Jing; Gillman, Max; Kejak, Michal - 2011
An identical two-sector productivity shock causes Rybczynski (1955) and Stolper and Samuelson (1941) effects that release leisure time and initially raise the relative price of human capital investment so as to favor it over goods production. Modified by having the household sector produce human...
Persistent link: https://www.econbiz.de/10010494483
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Labor Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing
Kabaca, Serdar - 2011
This paper contributes to the literature by documenting labor income share fluctuations in emerging economies and proposing an explanation for them. We show that emerging markets differ from developed markets in terms of changes in the labor share over the business cycle. Labor share is more...
Persistent link: https://www.econbiz.de/10010500184
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Increasing Returns to Scale and Welfare: Ranking the Multiple Deterministic Equilibria
Bambi, Mauro; Saïdi, Aurélien - 2008
We consider a real business cycle model with a productive externality and an aggregate non- convex technology set µa la Benhabib and Farmer embodying capacity utilization, which exhibits indeterminacy of the steady state and multiplicity of deterministic equilibria under plausible values of the...
Persistent link: https://www.econbiz.de/10011753163
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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...
Persistent link: https://www.econbiz.de/10010291802
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How often are propositions on the effects of regional trade agreements theoretical curiosa and when should they guide policy?
Abrego, Lisandro; Riezman, Raymond; Whalley, John - 2002
blend theory and numerical simulation and go beyond the ambiguous analytically derived propositions that dominate the …
Persistent link: https://www.econbiz.de/10010292001
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Model comparison using the Hansen-Jagannathan distance
Kan, Raymond; Robotti, Cesare - 2007
Although it is of interest to empirical researchers to test whether or not a particular asset-pricing model is true, a more useful task is to determine how wrong a model is and to compare the performance of competing asset-pricing models. In this paper, we propose a new methodology to test...
Persistent link: https://www.econbiz.de/10010292247