Trends, cycles and lost decades: Decomposition from a DSGE model with endogenous growth

Ryo Hasumi, Hirokuni Iiboshi and Daisuke Nakamura

Japan and the World Economy, 2018, vol. 46, issue C, 9-28

Abstract: In this paper we incorporate endogenous productivity growth into a medium-scale new Keynesian dynamic stochastic general equilibrium (DSGE) model, to which a new shock regarding R&D activities is added. By matching the model parameters to the Japanese economy from 1980:Q2 to 2013:Q4 and decomposing the output into trend and cycle components, we find that the stagnation of the so-called lost decades was caused by a decline in economic growth as well as major recessions in the business cycle. The common trend estimated by our model is based on multiple time series data and is much more volatile than the trend extracted by either the Hodrick–Prescott or the band-pass filter.

Keywords: Endogenous TFP growth; New Keynesian DSGE; Trend shift; Technological change (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0922142517300361
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Trends, Cycles and Lost Decades: Decomposition from a DSGE Model with Endogenous Growth (2018)
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: https://EconPapers.repec.org/RePEc:eee:japwor:v:46:y:2018:i:c:p:9-28

DOI: 10.1016/j.japwor.2018.02.003

Access Statistics for this article

Japan and the World Economy is currently edited by Robert Dekle and Yasushi Hamao

More articles in Japan and the World Economy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().