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Title:Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital PDF Logo
Authors:Malley, Jim
Woitek, Ulrich
Issue Date:2011
Series/Report no.:CESifo working paper: Fiscal Policy, Macroeconomics and Growth 3567
Abstract:Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the dynamics and the trends in the data not captured by the theoretical growth model, we introduce a vector error correction model (VECM) of the measurement errors and estimate the model's posterior density function using Bayesian methods. To contextualize our findings with those in the literature, we also assess whether the endogenous growth model or the standard real business cycle model better explains the observed variation in these aggregates. In addressing these issues we contribute to both the methods of analysis and the ongoing debate regarding the effects of innovations to productivity on macroeconomic activity.
Subjects:endogenous growth
human capital
real business cycles
VECM measurement errors
Bayesian estimation
JEL:C11
C52
E32
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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