Productivity, energy prices and the great moderation: A new link

Autor:	Rajeev Dhawan, Karsten Jeske, Pedro Silos
Rok vydání:	2010
Předmět:	Macroeconomics Economics and Econometrics Great Moderation Stochastic process Linkage (mechanical) Moderation law.invention Spillover effect law Business cycle Econometrics Dynamic stochastic general equilibrium Economics Volatility (finance) Productivity Total factor productivity
Zdroj:	Review of Economic Dynamics. 13:715-724
ISSN:	1094-2025
DOI:	10.1016/j.red.2009.07.001
Popis:	We build upon recent research that attributes the moderation of output volatility since the 1980s to the reduced volatility of the Total Factor Productivity (TFP) by investigating the linkage between energy price fluctuations and the stochastic process for TFP. First, we estimate a joint stochastic process for the energy price and TFP and establish that until around 1982, energy prices negatively affected TFP. This spillover has since disappeared. Second, we show that within the framework of a Dynamic Stochastic General Equilibrium (DSGE) model, the disappearance of this energy-productivity spillover accounts for close to 68 percent of the moderation in output volatility.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1459d8c211647bdb03ca3801f169bc30 https://doi.org/10.1016/j.red.2009.07.001 Zobrazit plný text záznamu Full Text from ScienceDirect