Learning asymmetries in real business cycles

• 成果类型: Article
• 署名作者: Van Nieuwerburgh, Stijn; Veldkamp, Laura
• 署名单位: New York University; New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.02.003
• 发表日期: 2006
• 页码: 753-772
• 关键词: Learning; asymmetry; business cycles; uncertainty

摘要

When a boom ends, the downturn is generally sharp and short. When growth resumes. the boom is more gradual. Our explanation rests on learning about productivity. When agents believe productivity is high, they work, invest, and produce more. More productivity generates higher precision information. When the boom ends, precise estimates of the slowdown prompt decisive reactions: investment and labor fall sharply. When growth resumes, low production yields noisy estimates of recovery. Noise impedes learning, slows recovery, and makes booms more gradual than downturns. A calibrated model generates growth rate asymmetry similar to macroeconomic aggregates. Fluctuations in agents' forecast precision match observed countercyclical errors of forecasters. There is. however. another characteristic of what we call the trade cycle that our explanation must cover; namely, the phenomenon of the crisis-the fact that the substitution of a downward for all upward tendency often takes place suddenly and violently. whereas there is. as a ride. no such sharp turning point when all upward is substituted for a downward tendency. J. M. Keynes (1936) (c) 2006 Elsevier B.V. All rights reserved.