How the basic RBC model fails to explain US time series

• 成果类型: Article
• 署名作者: Chow, GC; Kwan, YK
• 署名单位: Princeton University; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00074-3
• 发表日期: 1998
• 页码: 301-318
• 关键词: real business cycle model; dynamic optimization

摘要

By examining the reduced form equations implied by an RBC model this paper shows how it fails in explaining the dynamic characteristics of the US time series using time-domain analysis. In particular, by studying the serial correlation of the residuals of the reduced form and by introducing lagged dependent variables, important propagation mechanisms left out in the model can be clearly discerned and reformations to improve the model can be evaluated. (C) 1998 Elsevier Science B.V. All rights reserved.