Description |
1 online resource (43 pages) |
Series |
IMF Working Papers ; Working Paper No. 10/207 |
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IMF Working Papers ; Working Paper no. 10/207
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Contents |
I. Introduction; II The Model; A. Households; B. Firms; B.1 Final goods producers; B.2 Intermediate goods producers; B.3 The VECMs for IST and TFP Shocks; C. Market Clearing; D. Equilibrium and Equilibrium Conditions; D.1 Equilibrium conditions; E. Balanced Growth and the Restriction on the Cointegrating Vector; III. Estimation of the VECMs for IST; A. Data for the IST Shocks; Figures; 1. Log IST shocks; B. Integration and Cointegration Properties of the IST Shocks; Text Tables; 1. Unit Root Tests for IST Shocks; 2. Cointegration Statistics II: Johansen's Test |
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C. The Estimated VECM for IST ShocksD. The Estimated VECM for TFP Shocks; 3. The VECM for IST; 4. VECM Model; 2. Log TPF shocks; IV. Results; A. Model Parameterization; B. Solving the Puzzles; 5a. Stationary Model Results; 5b. Stationary Model Results; 5c. Stationary Model Results; 3. Impulse-Responses in the Stationary Model. Note: Thick Solid: M2. Thin Solid: M3. Dashed: M4; C. IRBC with the Estimated IST Shocks; V. Concluding Remarks; 6a. Non-Stationary Model Results; 6b. Non-Stationary Model Results; 6c. Non-Stationary Model Results |
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4. Impulse-Responses in the Non-Stationary Model. Note: Thick Solid: MsNS. Thin Solid: M2NSb. Dashed: M3NSReferences; Appendix I; A. Normalized Equilibrium Conditions; B. GHH Utility Specification; C. Estimation for the VECMs for TFP Shocks; C.1 Data; C.2 Integration and Cointegration Properties; Appendix Tables; A.1 Unit Root tests; C.3 The VECM Model; A.2 Cointegration Statistics II: Johansen's tests; A.3 Likelihood ratio tests |
Summary |
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 U.S 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 montioned puzzles |
Notes |
Available in PDF, ePUB, and Mobi formats on the Internet |
Bibliography |
Includes bibliographical references (p. 20-21) |
Subject |
Business cycles -- Effect of technological innovations on
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Investments -- Effect of technological innovations on
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International trade.
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Technological innovations -- Economic aspects
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International trade
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Technological innovations -- Economic aspects
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Form |
Electronic book
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Author |
International Monetary Fund.
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ISBN |
9781455205387 |
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1455205389 |
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1462305288 |
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9781462305285 |
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1455239488 |
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9781455239481 |
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9786612847493 |
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6612847492 |
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