Header

UZH-Logo

Maintenance Infos

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model


Malley, Jim; Woitek, Ulrich (2009). Technology shocks and aggregate fluctuations in an estimated hybrid RBC model. Working paper series / Institute for Empirical Research in Economics No. 408, University of Zurich.

Abstract

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explainingnaggregate fluctuations. To this end we estimate the model’snposterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we extend Ireland’s (2001, 2004) hybrid estimation approach to allow for a vector autoregressive moving averagen(VARMA) process to describe the movements and co-movementsnof the model’s errors not explained by the basic RBC model. The results of marginal likelihood ratio tests reveal that the more general model of the errors significantly improves the model’s fit relative to the VAR and AR alternatives. Moreover, despite setting the RBC model a more difficult task under the VARMA specification, our analysis,nbased on forecast error and spectral decompositions, suggests that the RBC model is still capable of explaining a significant fraction of the observed variation in macroeconomic aggregates in the post-war U.S. economy.

Abstract

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explainingnaggregate fluctuations. To this end we estimate the model’snposterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we extend Ireland’s (2001, 2004) hybrid estimation approach to allow for a vector autoregressive moving averagen(VARMA) process to describe the movements and co-movementsnof the model’s errors not explained by the basic RBC model. The results of marginal likelihood ratio tests reveal that the more general model of the errors significantly improves the model’s fit relative to the VAR and AR alternatives. Moreover, despite setting the RBC model a more difficult task under the VARMA specification, our analysis,nbased on forecast error and spectral decompositions, suggests that the RBC model is still capable of explaining a significant fraction of the observed variation in macroeconomic aggregates in the post-war U.S. economy.

Statistics

Downloads

446 downloads since deposited on 29 Nov 2011
5 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Language:English
Date:April 2009
Deposited On:29 Nov 2011 20:09
Last Modified:12 Aug 2017 12:45
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

Download

Preview Icon on Download
Preview
Filetype: PDF
Size: 384kB

TrendTerms

TrendTerms displays relevant terms of the abstract of this publication and related documents on a map. The terms and their relations were extracted from ZORA using word statistics. Their timelines are taken from ZORA as well. The bubble size of a term is proportional to the number of documents where the term occurs. Red, orange, yellow and green colors are used for terms that occur in the current document; red indicates high interlinkedness of a term with other terms, orange, yellow and green decreasing interlinkedness. Blue is used for terms that have a relation with the terms in this document, but occur in other documents.
You can navigate and zoom the map. Mouse-hovering a term displays its timeline, clicking it yields the associated documents.

Author Collaborations