Arbeitspapier
Correlated disturbances and US business cycles
The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. 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 allow for feasible and quick estimation of DSGE models with correlated disturbances. Our second contribution is a reexamination 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 434
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
General Aggregative Models: General
- Thema
-
DSGE
Bayesian estimation
robustness
Konjunktur
Öffentliche Ausgaben
Technischer Fortschritt
Dynamisches Gleichgewicht
Theorie
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cúrdia, Vasco
Reis, Ricardo
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cúrdia, Vasco
- Reis, Ricardo
- Federal Reserve Bank of New York
Entstanden
- 2010
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