Resultados de la búsqueda
Creator: McGrattan, Ellen R. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 370 Abstract:
Real business cycles are recurrent fluctuations in an economy’s incomes, products, and factor inputs—especially labor—that are due to nonmonetary sources. These sources include changes in technology, tax rates and government spending, tastes, government regulation, terms of trade, and energy prices. Most real business cycle (RBC) models are variants or extensions of a neoclassical growth model. One such prototype is introduced. It is then shown how RBC theorists, applying the methodology of Kydland and Prescott (Econometrica 1982), use theory to make predictions about actual time series. Extensions of the prototype model, current issues, and open questions are also discussed.
Palabra clave: Home production, Household budget constraint, International business cycles, Competitive equilibrium, Total factor productivity, Research and development, Labour-market search, Real business cycles, Productivity shocks, Real exchange rates, Markov processes, Technology shocks, Labour supply, Stabilization policies, and Stochastic growth models Tema: D40 - Market Structure, Pricing, and Design: General and D10 - Household Behavior: General
Creator: Chari, V. V., Kehoe, Patrick J., and McGrattan, Ellen R. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 364 Abstract:
The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR specification to a natural economic test and show that when applied to data from a multiple-shock business cycle model, the procedure incorrectly concludes that the model could not have generated the data as long as demand shocks play a nontrivial role. We also test another popular specification, which uses the level of hours, and show that with nontrivial demand shocks, it cannot distinguish between real business cycle models and sticky price models. The crux of the problem for both SVAR specifications is that available data require a VAR with a small number of lags and such a VAR is a poor approximation to the model’s VAR.
Palabra clave: Vector autoregressions, Impulse response, Technology shocks, and Real business cycle Tema: E20 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data), E37 - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications, E30 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data), E32 - Business Fluctuations; Cycles, C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models, E13 - General Aggregative Models: Neoclassical, and C51 - Model Construction and Estimation