Journal article
Explaining business cycles. A multiple-shock approach
Journal of monetary economics, Vol.34(3), pp.415-428
12/01/1994
DOI: 10.1016/0304-3932(94)90026-4
Abstract
Aiyagari (1992) and Prescott (1986, 1991) claim that a large fraction of the variance of United States quarterly detrended real GNP is attributable to an unobservable shock to total factor productivity. This paper argues that the importance of a productivity shock in explaining the variance of output is fundamentally indeterminate. Any model that is in accord with the several time series that make up United States macroeconomic data must feature multiple shocks that are correlated at all leads and lags. Sorting out the separate effects of these various shocks on a single variable such as real GNP is impossible. We illustrate this argument using a multiple-shock version of the King-Plosser-Rebelo (1988) benchmark real business cycle model. © 1994.
Details
- Title: Subtitle
- Explaining business cycles. A multiple-shock approach
- Creators
- Beth Fisher Ingram - University of IowaNarayana R. Kocherlakota - University of IowaN. E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of monetary economics, Vol.34(3), pp.415-428
- DOI
- 10.1016/0304-3932(94)90026-4
- ISSN
- 0304-3932
- eISSN
- 1873-1295
- Number of pages
- 14
- Grant note
- SES-8909376; SES-9223257 / National Science Foundation (http://data.elsevier.com/vocabulary/SciValFunders/100000001)
- Language
- English
- Date published
- 12/01/1994
- Academic Unit
- Economics
- Record Identifier
- 9984962551702771
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