Measures of Technology and the Business Cycle

Alexius, Annika; Carlsson, Mikael

doi:10.1162/0034653053970285

Cited by 21 publications

(17 citation statements)

References 21 publications

(69 reference statements)

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“…The findings in Alexius and Carlsson (2005) underline the importance of the absence of a labor input variable in the three-variable KPSW model for identifying technology shocks.…”

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confidence: 74%

“…Our conclusions build on the findings of Carlsson (2001, 2005), who establish that the bivariate Gali model containing labor productivity and hours worked provides a more reliable estimate of technology shocks than the three-variable and six-variable KPSW models, the former of which comprises only the real variables output, consumption and investment and the latter of which adds the nominal variables real balances, nominal interest rate and inflation. Alexius and Carlsson (2005) obtain that the bias in the three-variable KPSW model when estimating technology shocks is closely related to the lack of a labor input variable.…”

Section: Non-technical Summarymentioning

confidence: 95%

“…Table 6 shows that whereas the technology measures of G2V and K3V are not compatible with each other, the technology measure of K3V is related to the nontechnology measure of G2V. Given the findings of Alexius and Carlsson (2005), the bivariate Gali technology and nontechnology measures are assumed to be the correct ones in this study. Hence, we conclude that K3V mingles technology and nontechnology phenomena.…”

Section: G2v Vs K3v and K6vmentioning

confidence: 98%

“…16 The augmented Gali model is closely related to the model studied by Shapiro and Watson (1988), considered also in Alexius and Carlsson (2005), which is a four-variable VAR with labor input, output, inflation and real interest rate. Shapiro and Watson (1988) assume that labor input is affected by only technological disturbances in the long run, which differs in the identification scheme of Gali (1999).…”

Section: Gali (1999)mentioning

confidence: 99%

“…The 2 "The technology measure derived from the KPSW model mixes technology shocks with nontechnology phenomena. The Gali model, on the other hand, appears to be much more robust to nontechnology measures" according to Alexius and Carlsson (2005).…”

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confidence: 97%

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A Comparative Study on the Role of Stochastic Trends in U.S. Macroeconomic Fluctuations, 1954-1988

Seymen¹

2008

SSRN Journal

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Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp08007.pdf Non-Technical SummaryThis paper analyses and extends two seminal macroeconometric studies by Gali (1999) and King et al. (1991; henceforth KPSW) We show in this paper that this finding extends to the six-variable case as well. Therefore, we augment the six-variable model with hours worked to create a seven-variable one and impose the identification restriction of Gali in order to estimate technology shocks together with labor-supply, inflation and real-interest-rate shocks. This augmentation yields several advantages for macroeconometric analysis. First, the dynamic effects of more structural shocks on more macroeconomic variables can be investigated than in a bivariate model.Second, we can check whether the so-called omitted variables bias exists, and if it does, how it affects the identification of macroeconomic mechanisms. Third, we can distinguish between transitory and permanent shocks due to the presence of cointegration in contrast to the bivariate model.The sample we use is taken from KPSW and Gali (1999) and covers the period 1954:1 to 1988:4. Thus, our findings are almost directly comparable to the findings in these papers as well as to those in Carlsson (2001, 2005).When augmenting the bivariate model to a seven-variable model, we consider several subsets. Our main finding is that the identification restriction in the bivariate model leads to a robust estimation of technology shocks in every subset model as well as in the sevenvariable model. A second finding is that the estimation of inflation and real-interest-rate shocks is not greatly affected by the type of restriction used to identify technology shocks.Third, we obtain that the KPSW identification scheme is very sensitive to the presence of nominal variables, whereas the Gali restriction for identifying technology shocks is robust to the inclusion of nominal variables in the VAR. Fourth, the estimated technology measures of both three-variable and six-variable KPSW models contain a significant labor-supply component; i.e., they are mingled with nontechnology and demand measures.We furthermore investigate the driving forces of business cycles. Whereas Gali (1999) compares the comovements of the business cycle components of macroeconomic variables and KPSW employ forecast error variance decompositions for a similar investigation, we find using historical variance decompositions for the same purpo...

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“…The findings in Alexius and Carlsson (2005) underline the importance of the absence of a labor input variable in the three-variable KPSW model for identifying technology shocks.…”

mentioning

confidence: 74%

Section: Non-technical Summarymentioning

confidence: 95%

Section: G2v Vs K3v and K6vmentioning

confidence: 98%

Section: Gali (1999)mentioning

confidence: 99%

mentioning

confidence: 97%

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A Comparative Study on the Role of Stochastic Trends in U.S. Macroeconomic Fluctuations, 1954-1988

Seymen¹

2008

SSRN Journal

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Exchange rates and asymmetric shocks in small open economies

Alexius

Post

2008

Empir Econ

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in March 2005Abstract If floating exchange rates stabilize shocks rather than create shocks, a country that joins a monetary union or fixes its exchange rate looses a stabilizing mechanism. We use a first difference structural VAR on trade weighted macroeconomic data to study the role of floating exchange rates for five "small open economies" with inflation targets. By including both domestic and foreign variables and using a combination of long and short-run restrictions, we identify asymmetric shocks more carefully than previous studies. Only in Sweden and Canada does the nominal exchange rate appreciate significantly in response to asymmetric demand shocks and depreciate to asymmetric supply shocks. Most exchange rate movements are caused by speculation and are not responses to fundamental shocks. However, these exchange rate shocks have negligible effects on output and inflation. Our findings indicate that exchange rates are neither stabilizing nor destabilizing but may be loosely characterized as disconnected from the rest of the economy.

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