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Investment :, Specific Technology Shocks and International Business Cycles: An Empirical Assessment

Abstract
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
Table Of Contents
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
Language
eng
Literary Form
non fiction
Note
"September 2010."
Physical Description
1 online resource (45 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781455239481

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