An application of business cycle accounting with misspecified wedges
AbstractIt is often assumed that wedges evolve according to VAR(1) in the applications of business cycle accounting (BCA). However, recent research finds that the wedges have no VAR(1) representation in many dynamic stochastic general equilibrium (DSGE) economies, and that there might be a misspecification of the stochastic process of wedges. In order to assess the empirical usefulness of BCA, we apply BCA to a widely used medium-scale DSGE economy. Based on our experiments, we find that the accuracy of the measurement of wedges is high enough to capture the business cycle implications of wedges. (Copyright: Elsevier)
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Bibliographic InfoArticle provided by Elsevier for the Society for Economic Dynamics in its journal Review of Economic Dynamics.
Volume (Year): 15 (2012)
Issue (Month): 2 (April)
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Other versions of this item:
- NUTAHARA Kengo & INABA Masaru, 2011. "An Application of Business Cycle Accounting with Misspecified Wedges," Discussion papers 11005, Research Institute of Economy, Trade and Industry (RIETI).
- Masaru Inaba & Kengo Nutahara, 2012. "Online Appendices to "An application of business cycle accounting with misspecified wedges"," Technical Appendices 08-173, Review of Economic Dynamics.
- Masaru Inaba & Kengo Nutahara, 2012. "Code files for "An application of business cycle accounting with misspecified wedges"," Computer Codes 08-173, Review of Economic Dynamics.
- E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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