English, Article edition: Technology Shocks, Non-stationary Hours and DSVAR Martial Dupaigne; Patrick Feve; Julien Matheron

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Bookmark: http://trove.nla.gov.au/version/58125
Physical Description
  • article
Language
  • English

Edition details

Title
  • Technology Shocks, Non-stationary Hours and DSVAR
Author
  • Martial Dupaigne
  • Patrick Feve
  • Julien Matheron
Physical Description
  • article
Notes
  • Structural Vector Autoregressions with a differenced specification of hours (DSVAR) suggest that productivity shocks identified using long--run restrictions lead to a persistent and significant decline in hours worked. This evidence calls into question standard business cycle models in which a positive technology shock leads to a rise in hours. In this paper we argue that such a conclusion is unwarranted because model's data and actual data are not treated symmetrically. To illustrate this problem, we estimate and test a flexible-price DSGE model with non-stationary hours using Indirect Inference on impulse responses of hours and output after technology and non-technology shocks. We find that, once augmented with a moderate amount of real frictions, the model can mimic well impulse responses obtained form a DSVAR on actual data. Using this model as a data generating process, we show that our estimation method is less subject to bias than a method that would directly compare theoretical responses with responses from the DSVAR. (Copyright: Elsevier)
  • DSVARs; Long-run restrictions; DSGE models; Non-stationary hours; Indirect Inference
  • RePEc:red:issued:05-128
Language
  • English
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