Preference shocks from aggregation: time series data evidence
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 labour-market fluctuations.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 37 (2004)
Issue (Month): 3 (August)
|Contact details of provider:|| Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4|
Web page: http://economics.ca/cje/
More information through EDIRC
|Order Information:|| Web: http://economics.ca/en/membership.php Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Caselli, F. & Ventura, J., 1996.
"A Representative Consumer Theory of Distribution,"
96-11, Massachusetts Institute of Technology (MIT), Department of Economics.
- Gary Hansen, 2010.
"Indivisible Labor and the Business Cycle,"
Levine's Working Paper Archive
233, David K. Levine.
- Chatterjee, Satyajit, 1994. "Transitional dynamics and the distribution of wealth in a neoclassical growth model," Journal of Public Economics, Elsevier, vol. 54(1), pages 97-119, May.
- Lilia Maliar & Serguei Maliar, 2002.
"The Representative Consumer In The Neoclassical Growth Model With Idiosyncratic Shocks,"
Working Papers. Serie AD
2002-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Lilia Maliar & Serguei Maliar, 2003. "The Representative Consumer in the Neoclassical Growth Model with Idiosyncratic Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(2), pages 368-380, April.
- Lawrence J. Christiano & Martin Eichenbaum, 1990.
"Current real business cycle theories and aggregate labor market fluctuations,"
Working Paper Series, Macroeconomic Issues
90, Federal Reserve Bank of Chicago.
- Christiano, Lawrence J & Eichenbaum, Martin, 1992. "Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations," American Economic Review, American Economic Association, vol. 82(3), pages 430-50, June.
- Lawrence J. Christiano & Martin Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Discussion Paper / Institute for Empirical Macroeconomics 24, Federal Reserve Bank of Minneapolis.
- Gomme, P. & Greenwood, J., 1993.
"On the Cyclical Allocation of Risk,"
RCER Working Papers
355, University of Rochester - Center for Economic Research (RCER).
- Paul Gomme & Jeremy Greenwood, 1992. "On the cyclical allocation of risk," Discussion Paper / Institute for Empirical Macroeconomics 71, Federal Reserve Bank of Minneapolis.
- Gomme, P. & Greenwood, J., 1992. "On the Cyclical Allocation of Risk," UWO Department of Economics Working Papers 9205, University of Western Ontario, Department of Economics.
- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Atkeson, Andrew & Ogaki, Masao, 1996.
"Wealth-varying intertemporal elasticities of substitution: Evidence from panel and aggregate data,"
Journal of Monetary Economics,
Elsevier, vol. 38(3), pages 507-534, December.
- Atkeson, A. & Ogaki, M., 1991. "Wealth-Varying Intertemporal Elasticities of Substitution Evidence from Panel and Aggregate Data," RCER Working Papers 303, University of Rochester - Center for Economic Research (RCER).
- Lilia Maliar & Serguei Maliar, 1999.
"- Heterogeneity In Capital And Skills In A Neoclassical Stochastic Growth Model,"
Working Papers. Serie AD
1999-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Maliar, Lilia & Maliar, Serguei, 2001. "Heterogeneity in capital and skills in a neoclassical stochastic growth model," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1367-1397, September.
- King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232.
- Maliar, Lilia & Maliar, Serguei, 2003.
"Parameterized Expectations Algorithm and the Moving Bounds,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 21(1), pages 88-92, January.
- Lilia Maliar & Serguei Maliar, 2003. "Matlab code for Solving a Neoclassical Growh Model with a Parametrized Expectations Algorithm and Moving Bounds," QM&RBC Codes 54, Quantitative Macroeconomics & Real Business Cycles.
- Lilia Maliar & Serguei Maliar, 2001. "Parametrized Expectations Algorithm And The Moving Bounds," Working Papers. Serie AD 2001-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Kydland, Finn E & Prescott, Edward C, 1982.
"Time to Build and Aggregate Fluctuations,"
Econometric Society, vol. 50(6), pages 1345-70, November.
- Finn E. Kydland & Edward C. Prescott, 1982. "Web interface for "Time to Build and Aggregate Fluctuations"," QM&RBC Codes 4a, Quantitative Macroeconomics & Real Business Cycles.
- Finn E. Kydland & Edward C. Prescott, 1982. "Executable program for "Time to Build and Aggregate Fluctuations"," QM&RBC Codes 4, Quantitative Macroeconomics & Real Business Cycles.
- den Haan, Wouter J & Marcet, Albert, 1990.
"Solving the Stochastic Growth Model by Parameterizing Expectations,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 8(1), pages 31-34, January.
- Wouter Denhaan & Albert Marcet, 1990. "FORTRAN code for Simulation Parameterized Expecations Algorithm," QM&RBC Codes 57, Quantitative Macroeconomics & Real Business Cycles.
When requesting a correction, please mention this item's handle: RePEc:cje:issued:v:37:y:2004:i:3:p:768-781. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Prof. Werner Antweiler)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.