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 Artikel |
| Sprache: | English |
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Paris
OECD Publishing
2011
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| Online-Zugang: | 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 p.) 21 x 28cm. |
| DOI: | 10.1787/jbcma-2011-5kgg5k4plkzs |
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| 520 | |a 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. | ||
| 650 | 4 | |a Economics | |
| 773 | 0 | 8 | |i Enthalten in |t OECD Journal: Journal of Business Cycle Measurement and Analysis |g Vol. 2011, no. 1, p. 93-110 |
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| indexdate | 2024-11-26T14:56:14Z |
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| spelling | Love, David R. F... VerfasserIn aut Aggregate Comovements, Anticipation, and Business Cycles David R. F., Love Paris OECD Publishing 2011 1 Online-Ressource (18 p.) 21 x 28cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 Enthalten in OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2011, no. 1, p. 93-110 volume:2011 year:2011 number:1 pages:93-110 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-2011-5kgg5k4plkzs 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_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 |