Investment-specific technology shocks and international business cycles: An empirical assessment

Arbeitspapier

In this paper, we first introduce investment-specific technology (IST) shocks to an otherwise standard international real business cycle model and show that a thoughtful calibration of them along the lines of Raffo (2009) successfully addresses the quantity, international comovement, Backus-Smith, and price puzzles. Second, we use OECD data for the relative price of investment to build and estimate these IST processes across the United States and a rest of the world aggregate, showing that they are cointegrated and well represented by a vector error correction model (VECM). Finally, we demonstrate that when we fit such estimated IST processes in the model instead of the calibrated ones, the shocks are actually not as powerful to explain any of the four mentioned puzzles.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2010-3a

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Current Account Adjustment; Short-term Capital Movements ; International Monetary Arrangements and Institutions ; Open Economy Macroeconomics
• Thema: international business cycles ; cointegration ; investment-specific technology shocks

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Mandelman, Federico S. ; Rabanal, Pau ; Rubio-Ramírez, Juan F. ; Vilán, Diego
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of Atlanta
• (wo): Atlanta, GA
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/70616
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ