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Real business-cycle realizations

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  • Smith, Gregor W.
  • Zin, Stanley E.

Abstract

Much recent business cycle research focuses on moments of macroeconomic aggregates. We construct examples of real business cycle sample paths for output, consumption, and employment for the U.S. economy. Annual sample paths are generated from an initialcondition in 1925, measured technology and government spending shocks since then, and a standard, calibrated, one-sector model of the business cycle. Quarterly sample paths are generated similarly, from an initial condition in 1955. The law of motion for shocks is not parametrized and so decision-rules are estimated by GMM. We compare the paths with actual history graphically and by spectral methods.
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Suggested Citation

  • Smith, Gregor W. & Zin, Stanley E., 1997. "Real business-cycle realizations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 243-280, December.
    • Handle: RePEc:eee:crcspp:v:47:y:1997:i::p:243-280
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    1. Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
    2. Letendre, Marc-Andre & Smith, Gregor W., 2001. "Precautionary saving and portfolio allocation: DP by GMM," Journal of Monetary Economics, Elsevier, vol. 48(1), pages 197-215, August.
    3. Roman Sustek, 2011. "Monetary Business Cycle Accounting," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(4), pages 592-612, October.
    4. Letendre, Marc-Andre, 2004. "Semi-parametric predictions of the intertemporal approach to the current account," Journal of International Economics, Elsevier, vol. 64(2), pages 363-386, December.
    5. Blankenau, William & Kose, M. Ayhan, 2007. "How Different Is The Cyclical Behavior Of Home Production Across Countries?," Macroeconomic Dynamics, Cambridge University Press, vol. 11(1), pages 56-78, February.
    6. Blankenau, William & Ayhan Kose, M. & Yi, Kei-Mu, 2001. "Can world real interest rates explain business cycles in a small open economy?," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 867-889, June.
    7. M. Ayhan Kose & Bill Blankenau & Kei-Mu Yi, 1999. "World Real Interest Rates and Business Cycles in Open Economies: a Multiple Shock Approach," Computing in Economics and Finance 1999 1232, Society for Computational Economics.
    8. Ireland, Peter N., 2001. "Technology shocks and the business cycle: On empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 703-719, May.

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    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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