| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7878 |
| DP7878 Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity | |
| Martín Uribe; Stephanie Schmitt-Grohé | |
| 发表日期 | 2010-06-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper identifies a new source of business-cycle fluctuations. Namely, a common stochastic trend in neutral and investment-specific productivity. We document that in U.S. postwar quarterly data total factor productivity (TFP) and the relative price of investment are cointegrated. We show theoretically that TFP and the relative price of investment are cointegrated if and only if neutral and investment-specific productivity share a common stochastic trend. We econometrically estimate an RBC model augmented with a number of real rigidities and driven by a multitude of shocks. We find that in the context of our estimated model, innovations in the common stochastic trend explain a sizable fraction of the unconditional variances of output, consumption, investment, and hours. |
| 主题 | International Macroeconomics |
| 关键词 | Common trend Investment specific technlogy shocks Maximum likelihood estimation of dsge model Neutral technology shocks Sources of business cycles |
| URL | https://cepr.org/publications/dp7878 |
| 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/536715 |
| 推荐引用方式 GB/T 7714 | Martín Uribe,Stephanie Schmitt-Grohé. DP7878 Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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