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Technology shocks, structural breaks and the effects on the business cycle

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Author Info

  • Vincenzo Atella

    (CEIS & Dipartimento SEFEMEQ - Università di Roma "Tor Vergata")

  • Marco Centoni

    (Dipartimento SEGES - Università del Molise)

  • Gianluca Cubadda

    (Dipartimento SEFEMEQ - Università di Roma "Tor Vergata")

Abstract

This paper contributes to the literature on the role of technology shocks as source of the business cycle in two ways. First, we document that time-series of US productivity and hours are apparently affected by a structural break in the late 60’s, which is likely due to a major change in the monetary policy. Second, we show that the importance of demand shocks over the business cycle has sharply increased after the break.

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Bibliographic Info

Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 105.

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Date of creation: 17 Oct 2007
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Handle: RePEc:rtv:ceisrp:105

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Web page: http://www.ceistorvergata.it
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Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
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Keywords: Business cycle; technology shocks; structural breaks;

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  1. Luca Gambetti & Jordi Galí, 2007. "On the sources of the Great Moderation," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  2. Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
  3. Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March.
  4. Duffy, John & Engle-Warnick, Jim, 2006. "Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1363-1377, August.
  5. Romer, Christina D. & Romer, David H., 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," Department of Economics, Working Paper Series qt5h07k8vf, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  6. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  7. Gali, Jordi & Lopez-Salido, J. David & Valles, Javier, 2003. "Technology shocks and monetary policy: assessing the Fed's performance," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 723-743, May.
  8. Candelon, Bertrand & Lutkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, vol. 73(2), pages 155-160, November.
  9. Candelon,Bertrand & Cubadda,Gianluca, 2005. "Testing for Parameter Stability in Dynamic Models across Frequencies," Research Memorandum 022, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  10. Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2008. "Technology shocks, structural breaks and the effects on the business cycle," Economics Letters, Elsevier, vol. 100(3), pages 392-395, September.
  11. Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July.
  12. Bai, Jushan & Lumsdaine, Robin L & Stock, James H, 1998. "Testing for and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 395-432, July.
  13. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
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Cited by:
  1. Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2007. "Technology shocks, structural breaks and the effects on the business cycle," Economics & Statistics Discussion Papers esdp07041, University of Molise, Dept. EGSeI.
  2. Cubadda, Gianluca & Triacca, Umberto, 2011. "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.

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