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Can the Kydland--Prescott Model Pass the Cogley--Nason Test?

  • Fève, P.
  • Matheron, J.

This paper quantitatively evaluates the ability of a Kydland and Prescott type model with permanent technology shocks and labor wedges to reproduce output persistence together with persistent impulse response functions of output to permanent and transitory shocks. When calibrated on US labor market features, this model, in which technology shocks account for the bulk of output fluctuations, successfully passes the Cogley and Nason test.

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File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/ner125.pdf
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Paper provided by Banque de France in its series Working papers with number 125.

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Length: 17 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:bfr:banfra:125
Contact details of provider: Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/

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  1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
  2. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2004. "A Critique of Structural VARs Using Real Business Cycle Theory," Levine's Bibliography 122247000000000518, UCLA Department of Economics.
  3. Steve Ambler & Alain Guay & Louis Phaneuf, 2003. "Labor Market Imperfections and the Dynamics of Postwar Business Cycles," Cahiers de recherche 0319, CIRPEE.
  4. Bover, Olympia, 1991. "Relaxing Intertemporal Separability: A Rational Habits Model of Labor Supply Estimated from Panel Data," Journal of Labor Economics, University of Chicago Press, vol. 9(1), pages 85-100, January.
  5. Gary D. Hansen, 1989. "Technical Progress and Aggregate Fluctuations," UCLA Economics Working Papers 546, UCLA Department of Economics.
  6. Christopher Erceg & Luca Guerrieri & Christopher Gust, 2004. "Can long-run restrictions identify technology shocks?," International Finance Discussion Papers 792, Board of Governors of the Federal Reserve System (U.S.).
  7. Stephanie Schmitt-Grohe, 2000. "Endogenous Business Cycles and the Dynamics of Output, Hours, and Consumption," American Economic Review, American Economic Association, vol. 90(5), pages 1136-1159, December.
  8. Craig Burnside & Martin Eichenbaum, 1994. "Factor Hoarding and the Propagation of Business Cycles Shocks," NBER Working Papers 4675, National Bureau of Economic Research, Inc.
  9. Timothy Cogley & James M. Nason, 1993. "Output dynamics in real business cycle models," Working Papers in Applied Economic Theory 93-10, Federal Reserve Bank of San Francisco.
  10. Robert E. Hall, 1997. "Macroeconomic Fluctuations and the Allocation of Time," NBER Working Papers 5933, National Bureau of Economic Research, Inc.
  11. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
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