The Return to Capital and the Business Cycle
Paul Gomme (),
B Ravikumar and
Peter Rupert ()
University of California at Santa Barbara, Economics Working Paper Series from Department of Economics, UC Santa Barbara
We measure the return to capital directly from the NIPA and BEA data and examine the return implications of the real business cycle model. We construct a quarterly time series of the after-tax return to business capital. Its volatility is considerably smaller than that of S&P 500 returns. The standard business cycle model captures almost 50% of the volatility in the return to capital (relative to the volatility of output). We consider several departures from the benchmark model; the most promising is one with stochastic taxes which captures nearly 80% of the relative volatility in the return to capital.
Keywords: return to capital; volatility; real business cycles (search for similar items in EconPapers)
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Journal Article: The Return to Capital and the Business Cycle (2011)
Working Paper: The Return to Capital and the Business Cycle (2010)
Working Paper: The return to capital and the business cycle (2006)
Working Paper: The Return to Capital and the Business Cycle (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsbec:qt8d5824r7
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