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Investment; Specific Technology Shocks and International Business Cycles: An Empirical Assessment

International Monetary Fund
Authors registered in the RePEc Author Service: Pau Rabanal (), Federico S. Mandelman (), Diego Vilán and Juan F Rubio-Ramirez ()

No 10/207, IMF Working Papers from International Monetary Fund

Abstract: 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 montioned puzzles.

Keywords: Business cycles; Demand; Consumption; Cross country analysis; External shocks; Economic models; Productivity; Investment; International trade; United States; International Business Cycles, Cointegration, Investment-Specific Technology Shocks, tfp, statistics, statistic, (search for similar items in EconPapers)
Pages: 43
Date: 2010-09-01
New Economics Papers: this item is included in nep-bec, nep-cba, nep-dge, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

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Related works:
Journal Article: Investment Specific Technology Shocks and International Business Cycles: An Empirical Assessment (2011) Downloads
Working Paper: Investment-specific technology shocks and international business cycles: an empirical assessment (2010) Downloads
Working Paper: Investment-Specific Technology Shocks and International Business Cycles: An Empirical Assessment (2010) Downloads
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