How the basic RBC model fails to explain US time series

Gregory C. Chow; Yum K. Kwan

doi:10.1016/S0304-3932(97)00074-3

How the basic RBC model fails to explain US time series

Gregory C. Chow^*
, Yum K. Kwan

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

6 Citations (Scopus)

Abstract

By examining the reduced form equations implied by an RBC model this paper shows how it fails in explaining the dynamic characteristics of the US time series using time-domain analysis. In particular, by studying the serial correlation of the residuals of the reduced form and by introducing lagged dependent variables, important propagation mechanisms left out in the model can be clearly discerned and reformations to improve the model can be evaluated.

Original language	English
Pages (from-to)	301-318
Journal	Journal of Monetary Economics
Volume	41
Issue number	2
DOIs	https://doi.org/10.1016/S0304-3932(97)00074-3
Publication status	Published - 27 Feb 1998
Externally published	Yes

Research Keywords

Dynamic optimization
Real business cycle model

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title = "How the basic RBC model fails to explain US time series",

abstract = "By examining the reduced form equations implied by an RBC model this paper shows how it fails in explaining the dynamic characteristics of the US time series using time-domain analysis. In particular, by studying the serial correlation of the residuals of the reduced form and by introducing lagged dependent variables, important propagation mechanisms left out in the model can be clearly discerned and reformations to improve the model can be evaluated.",

keywords = "Dynamic optimization, Real business cycle model",

author = "Chow, \{Gregory C.\} and Kwan, \{Yum K.\}",

year = "1998",

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doi = "10.1016/S0304-3932(97)00074-3",

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T1 - How the basic RBC model fails to explain US time series

AU - Chow, Gregory C.

AU - Kwan, Yum K.

PY - 1998/2/27

Y1 - 1998/2/27

N2 - By examining the reduced form equations implied by an RBC model this paper shows how it fails in explaining the dynamic characteristics of the US time series using time-domain analysis. In particular, by studying the serial correlation of the residuals of the reduced form and by introducing lagged dependent variables, important propagation mechanisms left out in the model can be clearly discerned and reformations to improve the model can be evaluated.

AB - By examining the reduced form equations implied by an RBC model this paper shows how it fails in explaining the dynamic characteristics of the US time series using time-domain analysis. In particular, by studying the serial correlation of the residuals of the reduced form and by introducing lagged dependent variables, important propagation mechanisms left out in the model can be clearly discerned and reformations to improve the model can be evaluated.

KW - Dynamic optimization

KW - Real business cycle model

UR - https://www.scopus.com/pages/publications/0039498260

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0039498260&origin=recordpage

UR - https://app-overton-io.ezproxy.cityu.edu.hk/articles.php?query=10.1016/S0304-3932(97)00074-3

U2 - 10.1016/S0304-3932(97)00074-3

DO - 10.1016/S0304-3932(97)00074-3

M3 - RGC 21 - Publication in refereed journal

SN - 0304-3932

VL - 41

SP - 301

EP - 318

JO - Journal of Monetary Economics

JF - Journal of Monetary Economics

IS - 2

ER -

How the basic RBC model fails to explain US time series

Abstract

Research Keywords

Policy Impact

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