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Stochastic Depreciation and the Business Cycle Puzzle

We study a version of the neoclassical growth model in which shocks to both aggregate productivity and the depreciation of capital generate fluctuations around the steady-state growth path. Depreciation shocks induce an inverse comovement between average labor productivity and hours worked. When the model is calibrated to U.S. data, it generates a correlation between productivity and hours which is significantly closer to the observed value than that of standard real business cycle models. Furthermore, the addition of depreciation shocks does not cause a deterioration of the predictions of the model concerning other comovements. Nous étudions une version du modèle de croissance néoclassique dans lequel l'économie est assujettie à deux types de chocs. Des chocs agrégés de productivité ainsi que des chocs spécifiques sur le taux de dépréciation du capital génèrent des fluctuations autour du sentier de croissance équilibrée. Ces chocs de dépréciation induisent une corrélation négative entre la productivité moyenne de travail et le nombre d'heures travaillés. Pour une calibration du modèle compatible avec les données américaines, nous obtenons une corrélation heures-emploi qui est significativement plus près de la valeur observée que ce n'est le cas pour les modèles réels standards du cycle. De plus, l'ajout de chocs de dépréciation n'occasionne pas de détérioration des prédictions du modèle quant à d'autres co-mouvements.

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Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 8.

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Length: 27 pages
Date of creation: Dec 1992
Publication status: Published, International Economic Review, 35, pages 101-116, 1994
Handle: RePEc:cre:crefwp:8
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