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Keywords:Long-run restrictions OR Long-Run Restrictions 

Working Paper
Interpreting Shocks to the Relative Price of Investment with a Two-Sector Model

Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on standard one-sector models or on models with two or more sectors that can be aggregated. However, the same interpretation continues to go through in models that cannot be aggregated into a standard one-sector model. Furthermore, such a two-sector model with distinct factor input shares across production sectors and commingling of sectoral outputs in the assembly of final consumption and investment goods, in line with ...
Finance and Economics Discussion Series , Paper 2016-7

Working Paper
A Flexible Finite-Horizon Identification of Technology Shocks

Recent empirical studies using in finite horizon long-run restrictions question the validity of the technology-driven real business cycle hypothesis. These results have met with their own controversy, stemming from their sensitivity to changes in model specification and the general poor performance of long-run restrictions in Monte Carlo experiments. We propose an alternative identification that maximizes the contribution of technology shocks to the forecast-error variance of labor productivity at a long, but finite horizon. In small samples, our identification outperforms its in finite ...
International Finance Discussion Papers , Paper 832

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Francis, Neville 1 items

Guerrieri, Luca 1 items

Henderson, Dale W. 1 items

Kim, Jinill 1 items

Owyang, Michael T. 1 items

Roush, Jennifer E. 1 items

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