The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions

Neville Francis and Valerie Ramey

No 10631, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper investigates the source of historical fluctuations in annual US data extending back to the late 19th century. Long-run identifying restrictions are used to decompose productivity, hours, and output into technology shocks and non-technology shocks. A variety of models with differing auxiliary assumptions are investigated. The preferred model suggests that the Great Depression was a period in which both types of shocks were very negative. On the other hand, our estimates support the microeconomic evidence of historically large positive technology shocks from 1934 to 1936. Finally, both types of shocks are responsible for the reduction in the variance of output in the post-WWII period.

JEL-codes: E2 E3 (search for similar items in EconPapers)
Date: 2004-07
New Economics Papers: this item is included in nep-his
Note: EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

Published as The Source of Historical Economic Fluctuations: An Analysis Using Long-Run Restrictions , Neville Francis, Valerie A. Ramey. in NBER International Seminar on Macroeconomics 2004 , Clarida, Frankel, Giavazzi, and West. 2006

Downloads: (external link)
http://www.nber.org/papers/w10631.pdf (application/pdf)

Related works:
Chapter: The Source of Historical Economic Fluctuations: An Analysis Using Long-Run Restrictions (2006)
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:nbr:nberwo:10631

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w10631

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().