Anticipated technology shocks: FB3-5/2017-11E-PDF
a re-evaluation using cointegrated technologies /
"Two approaches have been taken in the literature to evaluate the relative importance of news shocks as a source of business cycle volatility. The first is an empirical approach that performs a structural vector autoregression to assess the relative importance of news shocks, while the second is a structural-model-based approach. The first approach suggests that anticipated technology shocks are an important source of business cycle volatility; the second finds anticipated technology shocks are incapable of generating any business cycle volatility. This paper challenges the latter conclusion by presenting a structural news shock model adapted to reproduce the cointegrating relationship between total factor productivity and the relative price of investment. With cointegrated neutral and investment-specific technology, anticipated shocks to the common stochastic trend explain approximately 22%, 32%, 34% and 20% of the variance of output, investment, hours and consumption in the United States, respectively, reconciling the discrepancy between theory and data"--Abstract, p. [ii].
|Department/Agency||Bank of Canada.|
|Title||Anticipated technology shocks|
|Subtitle||a re-evaluation using cointegrated technologies /|
|Series Title||Bank of Canada staff working paper,|
|Publication Type||Series - View Master Record|
|Electronic Document|| |
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|Number of Pages||[ii], 33 p. :|
|Subject Terms||Technological innovation, Economic analysis, Economic impact|
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