Productivity, Energy Prices and the Great Moderation: A New Link

Rajeev Dhawan (), Karsten Jeske and Pedro Silos
Additional contact information
Karsten Jeske: Mellon Capital Management

Review of Economic Dynamics

Abstract: We build upon recent research that attributes the moderation of output volatility since the 1980s to the reduced volatility of the Total Factor Productivity (TFP) by investigating the linkage between energy price fluctuations and the stochastic process for TFP. First, we estimate a joint stochastic process for the energy price and TFP and establish that until around 1982, energy prices negatively affected TFP. This spillover has since disappeared. Second, we show that within the framework of a Dynamic Stochastic General Equilibrium (DSGE) model, the disappearance of this energy-productivity spillover accounts for close to 68 percent of the moderation in output volatility. (Copyright: Elsevier)

Keywords: Productivity; Energy price; Great moderation; Business cycles; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C22 E32 Q43 (search for similar items in EconPapers)
View list of references

Downloads: (external link)
http://dx.doi.org/10.1016/j.red.2009.07.001
Access to full texts is restricted to ScienceDirect subscribers and institutional members. See http://www.sciencedirect.com/ for details.

Related works:
Working Paper: Productivity, energy prices, and the Great Moderation: a new link (2008)
Software Item: Code and data files for "Productivity, Energy Prices, and the Great Moderation: A New Link"
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:red:issued:09-14

Ordering information: This journal article can be ordered from
http://www.EconomicDynamics.org/RED17.htm

Access Statistics for this article

Review of Economic Dynamics is edited by Gianluca Violante

More articles in Review of Economic Dynamics from Elsevier for the Society for Economic Dynamics
Address: Review of Economic Dynamics Academic Press Editorial Office 525 "B" Street, Suite 1900 San Diego, CA 92101
Contact information at EDIRC.
Series data maintained by Christian Zimmermann ().