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Author : John M. Roberts
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.E/5 ( download)
Download or read book Using Structural Shocks to Identify Models of Investment written by John M. Roberts and published by . This book was released on 2005 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Abdul Abiad
Publisher : International Monetary Fund
ISBN 13 : 1484361555
Total Pages : 26 pages
Book Rating : 4.4/5 (843 download)
Download or read book The Macroeconomic Effects of Public Investment written by Mr.Abdul Abiad and published by International Monetary Fund. This book was released on 2015-05-04 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence of the macroeconomic effects of public investment in advanced economies. Using public investment forecast errors to identify the causal effect of government investment in a sample of 17 OECD economies since 1985 and model simulations, the paper finds that increased public investment raises output, both in the short term and in the long term, crowds in private investment, and reduces unemployment. Several factors shape the macroeconomic effects of public investment. When there is economic slack and monetary accommodation, demand effects are stronger, and the public-debt-to-GDP ratio may actually decline. Public investment is also more effective in boosting output in countries with higher public investment efficiency and when it is financed by issuing debt.
Author : V. Ginsburgh
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (46 download)
Download or read book Structural Shocks and Investment Subsidies in a Overlapping Generations Model with Perfect Foresight written by V. Ginsburgh and published by . This book was released on 1989 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James M. Nason
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (426 download)
Download or read book Investment and the Current Account in the Short Run and the Long Run written by James M. Nason and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical models of the relationship between investment and the current account impose restrictions on the joint dynamic behavior of these variables. These restrictions come in two forms. One imposes causal orderings on investment and the current account. The other restriction concerns the permanent responses of these variables to different shocks. We use these restrictions to identify empirically structural shocks from vector autoregressions of investment and the current account for Canada. Under certain identifications, our results support the implications of the intertemporal, small open economy model. However, these results are sensitive to perturbations of the identifications.
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author : Matthias Fengler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (125 download)
Download or read book Identifying Structural Shocks to Volatility Through a Proxy-MGARCH Model written by Matthias Fengler and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Pau Rabanal
Publisher : International Monetary Fund
ISBN 13 : 1451875657
Total Pages : 68 pages
Book Rating : 4.4/5 (518 download)
Download or read book Technology Shocks and Aggregate Fluctuations written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2004-12-01 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.
Author : Luca Dedola
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.X/5 (3 download)
Download or read book What Does a Technology Shock Do? written by Luca Dedola and published by . This book was released on 2006 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Chudik
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (828 download)
Download or read book How the Global Perspective Can Help Us Identify Structural Shocks written by Alexander Chudik and published by . This book was released on 2012 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper argues that global perspective can help us with the identification of structural shocks by utilizing the information on the signs of the responses of individual countries (cross section units). We demonstrate the main idea by means of Monte Carlo experiments and present an empirical application where we look at the effects of oil supply shocks on output and on global exchange rate constellation. Using a large-scale GVAR model of oil process and the global economy, we find supply shocks tend to have a stronger impact on emerging economies' real output as compared with mature economies, have a negative impact on real growth in oil-exporting economies as well, and tend to cause an appreciation of the U.S. dollar. This paper also illustrates some pitfalls with the existing measures to summarize the available information on structural shocks identified using sign restrictions when the dimension of the model is large (as it is in the case of global models).
Author : Roland Straub
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book Putting the New Keynesian Model to a Test written by Roland Straub and published by International Monetary Fund. This book was released on 2006-05 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, New Keynesian dynamic stochastic general equilibrium (NK DSGE) models have become increasingly popular in the academic literature and in policy analysis. However, the success of these models in reproducing the dynamic behavior of an economy following structural shocks is still disputed. This paper attempts to shed light on this issue. We use a VAR with sign restrictions that are robust to model and parameter uncertainty to estimate the effects of monetary policy, preference, government spending, investment, price markup, technology, and labor supply shocks on macroeconomic variables in the United States and the euro area. In contrast to the NK DSGE models, the empirical results indicate that technology shocks have a positive effect on hours worked, and investment and preference shocks have a positive impact on consumption and investment, respectively. While the former is in line with the predictions of Real Business Cycle models, the latter indicates the relevance of accelerator effects, as described by earlier Keynesian models. We also show that NK DSGE models might overemphasize the contribution of cost-push shocks to business cycle fluctuations while, at the same time, underestimating the importance of other shocks such as changes to technology and investment adjustment costs.
Author : Praveen Kumar
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Learning About Investment Risk written by Praveen Kumar and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effects of incomplete information on dynamic investment and consumption in a general equilibrium model where shocks to capital are unobservable and there is structural or parameter uncertainty regarding the volatility of these shocks; i.e., the investment risk. In this model higher investment reduces the estimation error on the unobservable state variables, and thereby also reduces the estimation error on the unknown parameter. Investment policy therefore affects the speed of learning and is itself subsequently affected as estimation errors fall over time. We quantify the interaction of learning with investment by numerically computing equilibrium investment and consumption in a version of the model calibrated by aggregate US data. We find that imperfect observability (of productivity shocks) by itself does not significantly affect equilibrium investment and consumption. The introduction of structural or parameter uncertainty has significant effects on equilibrium investment and consumption, however. Moreover, investment and consumption levels in the presence of structural uncertainty are more quantitatively consistent with the data when compared to versions of the model that assume either complete information or incomplete information without structural uncertainty. The presence of structural uncertainty also appears to make consumption growth more volatile compared to the benchmark cases. Finally, and consistent with the theoretical analysis, the marginal propensity to invest is not monotone increasing with time even though the estimation errors are being reduced due to learning.
Author : Ricardo J. Caballero
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.3/5 (243 download)
Download or read book Nonlinear Aggregate Investment Dynamics written by Ricardo J. Caballero and published by . This book was released on 1998 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms facing stochastic fixed adjustment costs. Instead of the standard sharp (S, s) bands, firms' adjustment policies take the form of a probability of adjustment (adjustment hazard) that responds smoothly to changes in firms' capacity gap. The model has appealing aggregation properties, and yields nonlinear aggregate time series processes. The passivity of normal times is, occasionally, more than offset by the brisk response to large accumulated shocks. Using within and out-of-sample criteria, we find that the model performs substantially better than the standard linear models of investment for postwar sectoral U.S. manufacturing equipment and structures investment data.
Author : Xing Guo
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (115 download)
Download or read book Identifying Aggregate Shocks with Micro-level Heterogeneity written by Xing Guo and published by . This book was released on 2020 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper identifies the aggregate financial shocks and quantifies their effects on business investment based on an estimated DSGE model with firm-level heterogeneity. On average, financial shocks contribute only 1.1% of the variation in U.S. public firms' aggregate investment. The negligible aggregate relevance of financial shocks mainly results from the interaction between firm-level heterogeneity and general equilibrium effects. Following a contractionary financial shock, financially constrained firms are directly forced to cut investment, which dampens the aggregate investment demand and lowers the capital good price. The lower capital good price motivates the financially unconstrained firms to invest more, which largely cancels out the financial shock's direct effect in aggregation. If the firm-level heterogeneity is removed, the implied relevance of financial shocks to aggregate investment will be 50 times larger. This sharp difference indicates that representative firm models could overstate the relevance of financial shocks in driving the business cycle fluctuation and highlights the importance of micro-level heterogeneity in identifying the aggregate shocks"--Abstract, page ii.
Author : Aleksei Netšunajev
Publisher :
ISBN 13 :
Total Pages : 79 pages
Book Rating : 4.:/5 (851 download)
Download or read book Structural Vector Autoregressions with Markov Switching written by Aleksei Netšunajev and published by . This book was released on 2013 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural vector autoregressions are of great importance in applied macroeconometric work. The main di culty associated with structural analysis is to identify unique shocks of interest. In a conventional approach this is done via zero or sign restrictions. Heteroskedasticity is proposed for use in identi cation. Under certain assumptions when volatility of shocks changes over time, unique shocks can be obtained. Then formal testing of the restrictions and impulse response analysis can be performed. In this thesis I show how identi cation via heteroskedasticity can be used in di erent contexts. In the rst chapter I analyze the dynamics of trade balances in response to macroeconomic shocks. I show that identifying restrictions, which are known in the literature, are rejected for two out of seven countries. Partially identi ed models fail to provide enough information to fully identify shocks. The second chapter, coauthored with my supervisor, demonstrates how one can bene t from identi cation via heteroskedasticity when sign restrictions are used. The approach is illustrated with a model of the crude oil market. It is shown that shocks identi ed via previously known sign restrictions are in line with the properties of the data. Use of tighter restrictions uncovers that the approach can be discriminative. The third chapter reconsiders the con icting results in the debate on the e ects of technology shocks on hours worked. Using six ways of identifying technology shocks, I nd that not all of them are supported by the data. There is no clear-cut evidence in favor of positive reaction of hours to technology shocks. However, it is plausible for real wage and disentangled investment-speci c and neutral technology shocks, even though conventional identi cation of the latter shocks is rejected.
Author : Matthias Hertweck
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (884 download)
Download or read book Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S written by Matthias Hertweck and published by . This book was released on 2011 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic fluctuations, second only to investment-specific technology shocks. In particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology shocks and monetary policy shocks seem less relevant at business cycle frequencies. The impulse response dynamics provide support for medium-scale DSGE models, but not for strong price rigidities.
Author : Charles P. Himmelberg
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Investment and Time to Plan written by Charles P. Himmelberg and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time to build models of investment expenditures play an important role in many traditional and modern theories of the business cycle, especially for explaining the dynamic propagation of shocks. We estimate the structural parameters of a time-to-build model using firm-level investment data on equipment and structures. For equipment expenditures, we find no evidence of time-to-build effects beyond one period. For structures, by contrast, there is clear evidence of time to build in the range of 2-3 years. The contrast between equipment and structures is intuitively reasonable and consistent with previous results. The estimates for structures also indicate that initial-period expenditures are low, and increase as projects near completion. These results provide empirical support for including time to plan effects for investment in structures. More generally, these results suggest a potential source of specification error for Q models of investment and production-based asset pricing models that ignore the time required to plan, build and install new capital.
Author : Germán Gutiérrez
Publisher : International Monetary Fund
ISBN 13 : 1513519611
Total Pages : 43 pages
Book Rating : 4.5/5 (135 download)
Download or read book Entry Costs and the Macroeconomy written by Germán Gutiérrez and published by International Monetary Fund. This book was released on 2019-11-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We combine a structural model with cross-sectional micro data to identify the causes and consequences of rising concentration in the US economy. Using asset prices and industry data, we estimate realized and anticipated shocks that drive entry and concentration. We validate our approach by showing that the model-implied entry shocks correlate with independently constructed measures of entry regulations and M&As. We conclude that entry costs have risen in the U.S. over the past 20 years and have depressed capital and consumption by about seven percent.
