Investment shocks and business cycles

Arbeitspapier

Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in U.S. output and hours. Moreover, like a textbook demand shock, these disturbances drive prices higher in expansions. We reach these conclusions by estimating a dynamic stochastic general equilibrium (DSGE) model with several shocks and frictions. We also find that neutral technology shocks are not negligible, but their share in the variance of output is only around 25 percent and even lower for hours. Labor supply shocks explain a large fraction of the variation of hours at very low frequencies, but not over the business cycle. Finally, we show that imperfect competition and, to a lesser extent, technological frictions are the key to the transmission of investment shocks in the model.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 322

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Investment; Capital; Intangible Capital; Capacity ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
• Thema: DSGE model ; imperfect competition ; endogenous markups ; Bayesian methods ; Investitionsklima ; Arbeitsangebot ; Schock ; Unvollkommener Wettbewerb ; Konjunktur ; Dynamisches Gleichgewicht

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Justiniano, Alejandro ; Primiceri, Giorgio E. ; Tambalotti, Andrea
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/60802
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ