The role of transitory and persistent shocks in the consumption correlation and international comovement puzzles

研究成果: Article査読

3 被引用数 (Scopus)

抄録

We study a two-country model with changes in the technological growth rate. Such changes are attributed to transitory and persistent shocks in the growth rate of technology. Cases are considered in which agents in two countries do not have enough information to distinguish between the two types of shocks; gradually, however, the persistence of the shock is recognized through the learning process. Utilizing a set of parameters obtained from U.S. and European productivity growth rates, it is then shown that (i) when persistent shocks affect the two countries identically, there is no consumption-correlation puzzle, and the international comovement puzzle becomes imperceptible; and (ii) even when persistent shocks affect the two countries differently, imperfect information plays an important role in explaining both the consumption- correlation puzzle and the international comovement puzzle (provided transitory shocks are strongly internationally correlated and are relatively larger than persistent shocks).

本文言語English
ページ(範囲)1234-1270
ページ数37
ジャーナルMacroeconomic Dynamics
18
6
DOI
出版ステータスPublished - 2014 9月
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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