Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70755
Authors: 
Dhawan, Rajeev
Jeske, Karsten
Silos, Pedro
Year of Publication: 
2008
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2008-11
Abstract: 
We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has since disappeared. Second, we show that within the framework of a dynamic stochastic general equilibrium model, the disappearance of this energy-productivity spillover generates the significantly lower volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 percent of the moderation in output volatility.
Subjects: 
Bayesian estimation
productivity
energy price
Great Moderation
business cycles
JEL: 
C22
E32
Q43
Document Type: 
Working Paper

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