Demand and productivity components of business cycles: Estimates and implications

• 成果类型: Article
• 署名作者: Dufourt, F
• 署名单位: Universites de Strasbourg Etablissements Associes; Universite de Strasbourg
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.011
• 发表日期: 2005
• 页码: 1089-1105
• 关键词: business cycles; demand shocks; productivity shocks

摘要

Standard stochastic growth models provide theoretical restrictions on output decomposition which can be used to investigate whether productivity shocks played a major role in observed business cycles. Applying these restrictions to US data leads to the following findings: (i) Business cycles implied by productivity shocks are mildly correlated to overall fluctuations and help account for a few episodes of US postwar recessions. However, only 20% of US fluctuations can be explained by these shocks. (ii) Most fluctuations seem instead to be due to nominal demand shocks, i.e. shocks which move output and prices in the same direction, but whose effects on output are ultimately transitory. (iii) Canonical sticky price models in the new-neoclassical synthesis tradition can account for the cyclical comovements of output and prices, but canonical, frictionless, RBC models cannot. (c) 2005 Elsevier B.V. All rights reserved.