Investment Specific Technology Shocks and International Business Cycles: An Empirical Assessment
Federico Mandelman (),
Pau Rabanal (),
Juan F Rubio-Ramirez () and
Review of Economic Dynamics, 2011, vol. 14, issue 1, 136-155
In this paper, we first introduce investment-specific technology (IST) shocks to an otherwise standard international real business cycle model and show that a thoughtful calibration of them along the lines of Raffo (2009) successfully addresses the "quantity", "international comovement", "Backus-Smith", and "price" puzzles. Second, we use OECD data for the relative price of investment to build and estimate these IST processes across the U.S and a "rest of the world" aggregate, showing that they are cointegrated and well represented by a vector error correction model (VECM). Finally, we demonstrate that when we fit such estimated IST processes in the model instead of the calibrated ones, the shocks are actually not as powerful to explain any of the four mentioned puzzles. (Copyright: Elsevier)
Keywords: International business cycles; Cointegration; Investment-specific technology shocks (search for similar items in EconPapers)
JEL-codes: E32 F32 F33 F41 (search for similar items in EconPapers)
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Working Paper: Investment; Specific Technology Shocks and International Business Cycles: An Empirical Assessment (2010)
Working Paper: Investment-Specific Technology Shocks and International Business Cycles: An Empirical Assessment (2010)
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