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Intertemporal disturbances

Author Info

  • Giorgio Primiceri

    ()

    (Economics Northwestern University)

  • Ernst Schaumburg
  • Andrea Tambalotti

Abstract

Disturbances affecting agents' intertemporal substitution are the key driving force of macroeconomic fluctuations. We reach this conclusion exploiting the asset pricing implications of an estimated general equilibrium model of the U.S. business cycle with a rich set of real and nominal frictions

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File URL: http://repec.org/sed2006/up.3783.1139863938.pdf
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Paper provided by Society for Economic Dynamics in its series 2006 Meeting Papers with number 355.

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Date of creation: 03 Dec 2006
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Handle: RePEc:red:sed006:355
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Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA

Web page: http://www.EconomicDynamics.org/
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Keywords: Business Cycle; Fluctuations; Euler equation; shocks; frictions;

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Find related papers by JEL classification:
  • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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  11. Singleton, Kenneth J., 1990. "Specification and estimation of intertemporal asset pricing models," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 12, pages 583-626 Elsevier.
  12. Gali, J., 1996. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," Working Papers 96-28, C.V. Starr Center for Applied Economics, New York University.
  13. Casey B. Mulligan, 2002. "A Dual Method of Empirically Evaluating Dynamic Competitive Equilibrium Models with Market Distortions, Applied to the Great Depression & World War II," NBER Working Papers 8775, National Bureau of Economic Research, Inc.
  14. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  15. Greenwood, Jeremy & Hercowitz, Zvi & Huffman, Gregory W, 1988. "Investment, Capacity Utilization, and the Real Business Cycle," American Economic Review, American Economic Association, vol. 78(3), pages 402-17, June.
  16. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  17. Matteo Iacoviello, 2002. "House prices, borrowing constraints and monetary policy in the business cycle," Boston College Working Papers in Economics 542, Boston College Department of Economics, revised 06 Dec 2004.
  18. N. Gregory Mankiw & Julio J. Rotemberg & Lawrence H. Summers, 1985. "Intertemporal Substitution in Macroeconomics," The Quarterly Journal of Economics, Oxford University Press, vol. 100(1), pages 225-251.
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