Anticipated technology shocks : a re-evaluation using cointegrated technologies / by Joel Wagner.: FB3-5/2017-11E-PDF
"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].
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Anticipated technology shocks : a re-evaluation using cointegrated technologies / by Joel Wagner. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-11 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "April 2017." Includes bibliographical references (p. 20-21). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Wagner, Joel. |
| Description | [ii], 33 p. : charts |
| Catalogue number |
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| Subject terms | Technological innovation Economic analysis Economic impact |
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