A FLEXIBLE FINITE-HORIZON ALTERNATIVE TO LONG-RUN RESTRICTIONS WITH AN APPLICATION TO TECHNOLOGY SHOCKS

• 成果类型: Article
• 署名作者: Francis, Neville; Owyang, Michael T.; Roush, Jennifer E.; DiCecio, Riccardo
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00406
• 发表日期: 2014-10
• 页码: 638-647
• 关键词: business-cycle; aggregate fluctuations; impulse responses; contractionary; improvements

摘要

Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. 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-sample Monte Carlo experiments, our identification outperforms standard long-run restrictions by significantly reducing the bias in the short-run impulse responses and raising their estimation precision. Unlike its long-run restriction counterpart, when our Max Share identification technique is applied to U.S. data, it delivers the robust result that hours worked responds negatively to positive technology shocks.