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Technology Shocks (technology + shock)
Selected AbstractsTECHNOLOGY SHOCKS AND ROBUST SIGN RESTRICTIONS IN A EURO AREA SVAR,INTERNATIONAL ECONOMIC REVIEW, Issue 3 2009Gert Peersman We use a model-based identification strategy to estimate the impact of technology shocks on hours worked and employment in the euro area. The sign restrictions applied in the vector autoregression (VAR) analysis are consistent with a large class of dynamic stochastic general equilibrium (DSGE) models and are robust to parameter uncertainty. The results are in line with the conventional Real Business Cycle (RBC) interpretation that hours worked rise as a result of a positive technology shock. By comparing the sign restrictions method to the long-run restriction approach of Galí (Quaterly Journal of Economics,(1992) 709,38), we show that the results do not depend on the stochastic specification of the hours worked series or the data sample but only on the identification scheme. [source] What you match does matter: the effects of data on DSGE estimationJOURNAL OF APPLIED ECONOMETRICS, Issue 5 2010Pablo A. Guerron-Quintana This paper explores the effects of using alternative combinations of observables for the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. I find that the estimation of structural parameters describing the Taylor rule and sticky contracts in prices and wages is particularly sensitive to the set of observables. In terms of the model's predictions, the exclusion of some observables may lead to estimated parameters with unexpected outcomes, such as recessions following a positive technology shock. More importantly, two ways to assess different sets of observables are proposed. These measures favor a dataset consisting of seven observables. Copyright © 2009 John Wiley & Sons, Ltd. [source] TECHNOLOGY SHOCKS AND ROBUST SIGN RESTRICTIONS IN A EURO AREA SVAR,INTERNATIONAL ECONOMIC REVIEW, Issue 3 2009Gert Peersman We use a model-based identification strategy to estimate the impact of technology shocks on hours worked and employment in the euro area. The sign restrictions applied in the vector autoregression (VAR) analysis are consistent with a large class of dynamic stochastic general equilibrium (DSGE) models and are robust to parameter uncertainty. The results are in line with the conventional Real Business Cycle (RBC) interpretation that hours worked rise as a result of a positive technology shock. By comparing the sign restrictions method to the long-run restriction approach of Galí (Quaterly Journal of Economics,(1992) 709,38), we show that the results do not depend on the stochastic specification of the hours worked series or the data sample but only on the identification scheme. [source] Persistence of business cycles in multisector real business cycle modelsINTERNATIONAL JOURNAL OF ECONOMIC THEORY, Issue 3-4 2006Jess Benhabib E00; E3; O40 In this paper we explore whether the changing composition of output in response to technology shocks can play a significant role in the propagation of shocks over time. For this purpose we study two multisector real business cycle models, with two and three sectors. We find that, although the two-sector model requires a high intertemporal elasticity of substitution of consumption to match the various dynamic properties of US macroeconomic data, the three-sector model has a strong propagation mechanism under conventional parameterizations, as long as the factor intensities in the three sectors are different enough. [source] The effects of technology shocks on hours and output: a robustness analysisJOURNAL OF APPLIED ECONOMETRICS, Issue 5 2010Fabio Canova We analyze the effects of neutral and investment-specific technology shocks on hours and output. Long cycles in hours are removed in a variety of ways. Hours robustly fall in response to neutral shocks and robustly increase in response to investment-specific shocks. The percentage of the variance of hours (output) explained by neutral shocks is small (large); the opposite is true for investment-specific shocks. ,News shocks' are uncorrelated with the estimated technology shocks. Copyright © 2009 John Wiley & Sons, Ltd. [source] Pricing Behavior and the Response of Hours to Productivity ShocksJOURNAL OF MONEY, CREDIT AND BANKING, Issue 7 2007DOMENICO J. MARCHETTI pricing behavior; technology shocks; hours Recent contributions have suggested that technology shocks have a negative impact on hours, contrary to the prediction of standard flexible-price models of the business cycle. Some authors have interpreted this finding as evidence in favor of sticky-price models, while others have either extended flexible-price models or disputed the empirical finding itself. In this paper, we estimate a variety of alternative total factor productivity measures for a representative sample of Italian manufacturing firms and on average find a negative effect of productivity shocks on hours growth. More interestingly, using the reported frequency of price reviews, we show that the contractionary effect is stronger for firms with stickier prices and weaker or not significant for firms with more flexible prices. Price stickiness remains a crucial factor in shaping the response of hours after controlling for product storability or market power. [source] ESTIMATED DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL OF THE TAIWANESE ECONOMYPACIFIC ECONOMIC REVIEW, Issue 2 2009Wing Leong Teo Several versions of the model with different representations of Taiwanese monetary policy are estimated using Bayesian techniques. The major findings are that: (i) monetary policy in Taiwan is best described by a money supply growth rate rule; (ii) the Taiwanese economy is more flexible than the Euro area economy; and (iii) export price mark-up and investment-specific technology shocks are the main driving forces of output growth fluctuations in Taiwan. [source] Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models*THE ECONOMIC JOURNAL, Issue 489 2003Martin Lettau We derive closed-form solutions for asset prices in an RBC economy. The equations are based on a log-linear solution of the RBC model and allow a clearer understanding of the determination of risk premia in models with production. We demonstrate not only why the premium of equity over the risk-free rate is small but also why the premium of equity over a real long-term bond is small and often negative. In particular, risk premia for equity and long real bonds are negative when technology shocks are permanent. [source] TIME-VARYING UNCERTAINTY AND THE CREDIT CHANNELBULLETIN OF ECONOMIC RESEARCH, Issue 4 2008Victor Dorofeenko E4; E5; E2 ABSTRACT We extend the Carlstrom and Fuerst (American Economic Review, 1997, 87, pp. 893,910) agency cost model of business cycles by including time-varying uncertainty in the technology shocks that affect capital production. We first demonstrate that standard linearization methods can be used to solve the model yet second moments enter the economy's equilibrium policy functions. We then demonstrate that an increase in uncertainty causes, ceteris paribus, a fall in investment supply. We also show that persistence of uncertainty affects both quantitatively and qualitatively the behaviour of the economy. [source] | ||||||||||||||||||||||