Aggregate Comovements, Anticipation, and Business Cycles:
This paper shows that negative comovements between major macroeconomic variables at business-cycle frequencies are commonly observed, but that standard Real Business Cycle (RBC) theory fails to predict this feature of the data. We show that allowing for "anticipation effects" in response t...
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Format: | Elektronisch Buchkapitel |
Sprache: | English |
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Paris
OECD Publishing
2011
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Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
Zusammenfassung: | This paper shows that negative comovements between major macroeconomic variables at business-cycle frequencies are commonly observed, but that standard Real Business Cycle (RBC) theory fails to predict this feature of the data. We show that allowing for "anticipation effects" in response to "news shocks" enables standard RBC models to predict both the observed patterns of negative comovement and overall positive correlations. Anticipation also improves magnification of shocks in the model without harming predictions for the other second moments central to RBC studies. Anticipation effects improve on standard RBC frameworks by offering an empirically plausible explanation for the nontrivial fraction of time that aggregate variables are observed to comove negatively |
Beschreibung: | 1 Online-Ressource (18 Seiten) 21 x 28cm |
DOI: | 10.1787/jbcma-2011-5kgg5k4plkzs |
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Datensatz im Suchindex
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spelling | Love, David R. F... Verfasser aut Aggregate Comovements, Anticipation, and Business Cycles David R. F. Love Paris OECD Publishing 2011 1 Online-Ressource (18 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier This paper shows that negative comovements between major macroeconomic variables at business-cycle frequencies are commonly observed, but that standard Real Business Cycle (RBC) theory fails to predict this feature of the data. We show that allowing for "anticipation effects" in response to "news shocks" enables standard RBC models to predict both the observed patterns of negative comovement and overall positive correlations. Anticipation also improves magnification of shocks in the model without harming predictions for the other second moments central to RBC studies. Anticipation effects improve on standard RBC frameworks by offering an empirically plausible explanation for the nontrivial fraction of time that aggregate variables are observed to comove negatively Economics https://doi.org/10.1787/jbcma-2011-5kgg5k4plkzs Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Love, David R. F.. Aggregate Comovements, Anticipation, and Business Cycles Economics |
title | Aggregate Comovements, Anticipation, and Business Cycles |
title_auth | Aggregate Comovements, Anticipation, and Business Cycles |
title_exact_search | Aggregate Comovements, Anticipation, and Business Cycles |
title_exact_search_txtP | Aggregate Comovements, Anticipation, and Business Cycles |
title_full | Aggregate Comovements, Anticipation, and Business Cycles David R. F. Love |
title_fullStr | Aggregate Comovements, Anticipation, and Business Cycles David R. F. Love |
title_full_unstemmed | Aggregate Comovements, Anticipation, and Business Cycles David R. F. Love |
title_short | Aggregate Comovements, Anticipation, and Business Cycles |
title_sort | aggregate comovements anticipation and business cycles |
topic | Economics |
topic_facet | Economics |
url | https://doi.org/10.1787/jbcma-2011-5kgg5k4plkzs |
work_keys_str_mv | AT lovedavidrf aggregatecomovementsanticipationandbusinesscycles |