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Identifying Technology Shocks in the Frequency Domain

DiCecio, Riccardo - 2010

forecast-error variance share of labor productivity at long horizons. In this paper, we propose a variant of the Max Share … identification, which focuses on maximizing the variance share of labor productivity in the frequency domain. We consider the … shock increases productivity, output, and hours at business-cycle frequencies. The technology shock that maximizes …

Persistent link: https://www.econbiz.de/10013139541

Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital

Malley, Jim - 2011

Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and … of innovations to productivity on macroeconomic activity …

Persistent link: https://www.econbiz.de/10013120659

Neutral Technology Shocks and Employment Dynamics : Results Based on an RBC Identification Scheme

Mumtaz, Haroon - 2012

This paper studies the dynamic response of labour input to neutral technology shocks. It uses a standard real business cycle model enriched with labour market search and matching frictions and investment-specific technological progress that enables a new, agnostic, identification scheme based on...

Persistent link: https://www.econbiz.de/10013106248

Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model

Malley, Jim - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10013160381

Vector Autoregressions and Reduced Form Representations of DSGE Models

Ravenna, Federico - 2006

Dynamic Stochastic General Equilibrium models are often tested against empirical VARs or estimated by minimizing the distance between the model's and the VAR impulse response functions. These methodologies require that the data-generating process consistent with the DSGE theoretical model has a...

Persistent link: https://www.econbiz.de/10012732958

Assessing Structural Vars

Christiano, Lawrence J. - 2006

This paper analyzes the quality of VAR-based procedures for estimating the response of the economy to a shock. We focus on two key issues. First, do VAR-based confidence intervals accurately reflect the actual degree of sampling uncertainty associated with impulse response functions? Second,...

Persistent link: https://www.econbiz.de/10012779825

Identifying technology shocks at the business cycle via spectral variance decompositions

Lovcha, Yuliya; Perez-Laborda, Alejandro - In: Macroeconomic dynamics 25 (2021) 8, pp. 1966-1992

Persistent link: https://www.econbiz.de/10012704932

Shock persistence, uncertainty and news-driven business cycles

Lee, Kevin; Shields, Kalvinder; Turnip, Guido - 2022

This paper considers the macroeconomic effects of shocks with different persistence properties identified from surveys of expectations. Using a GARCH-in-Mean model for the US, we present persistence profiles to illustrate how news about events occurring over different time frames plays different...

Persistent link: https://www.econbiz.de/10013290119

Structural VARs, Deterministic and Stochastic Trends : Does Detrending Matter?

Wiriyawit, Varang - 2015

We highlight how detrending within Structural Vector Autoregressions (SVAR) is directly linked to the shock identification. Consequences of trend misspecification are investigated using a prototypical Real Business Cycle model as the Data Generating Process. Decomposing the different sources of...

Persistent link: https://www.econbiz.de/10013033395

Monopoly power in the oil market and the macroeconomy

Branger, Nicole; Flacke, René Marian; Gräber, Nikolai - In: Energy economics 85 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012509608