| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7712
|
| DP7712 Correlated Disturbances and U.S. Business Cycles |
| Vasco Cúrdia
|
| 发表日期 | 2010-02-21
|
| 出版年 | 2010
|
| 语种 | 英语
|
| 摘要 | The dynamic stochastic general equilibrium (DSGE) models that are used to study business cycles typically assume that exogenous disturbances are independent autoregressions of order one. This paper relaxes this tight and arbitrary restriction, by allowing for disturbances that have a rich contemporaneous and dynamic correlation structure. Our first contribution is a new Bayesian econometric method that uses conjugate conditionals to make the estimation of DSGE models with correlated disturbances feasible and quick. Our second contribution is a re-examination of U.S. business cycles. We find that allowing for correlated disturbances resolves some conflicts between estimates from DSGE models and those from vector autoregressions, and that a key missing ingredient in the models is countercyclical fiscal policy. According to our estimates, government spending and technology disturbances play a larger role in the business cycle than previously ascribed, while changes in markups are less important. |
| 主题 | International Macroeconomics
|
| 关键词 | Bayesian estimation
Dsge
Robustness
|
| URL | https://cepr.org/publications/dp7712
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536549
|
推荐引用方式
GB/T 7714 |
Vasco Cúrdia. DP7712 Correlated Disturbances and U.S. Business Cycles. 2010.
|
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