PREFERENCE SHOCKS FROM AGGREGATION: TIME SERIES DATA EVIDENCE

Lilia Maliar and Serguei Maliar

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: We investigate the impact of preference shocks on the aggregate dynamics of the U.S. economy in the context of a neoclassical growth model derived from aggregation. The aggregation result we use is as follows: if markets are complete and if agents have identical preferences of the addilog type, then the heterogeneous-agent economy where agents are subject to idiosyncratic productivity shocks behaves as if there was a representative consumer who faces shocks to preferences and technology. We estimate the parameters in the aggregation-based model from the aggregate time-series data and compute the numerical solution. We find that the preference shocks play an important role in the aggregate labor-market fluctuations.

Keywords: neoclassical growth model; heterogenous agents; aggregation; business cycles; preference shock (search for similar items in EconPapers)
Pages: 18 pages
Date: 2003-11
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http://www.ivie.es/downloads/docs/wpasad/wpasad-2003-35.pdf Fisrt version / Primera version, 2003 (application/pdf)

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Journal Article: Preference shocks from aggregation: time series data evidence (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2003-35

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