How the basic RBC model fails to explain US time series

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

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)301-318
Journal / PublicationJournal of Monetary Economics
Volume41
Issue number2
Publication statusPublished - 27 Feb 1998
Externally publishedYes

Link(s)

DOI

DOI
Check@CityULib
Link to Scopus https://www.scopus.com/record/display.uri?eid=2-s2.0-0039498260&origin=recordpage
Permanent Link https://scholars.cityu.edu.hk/en/publications/publication(c6d930ab-be5b-499f-a753-57fd2f04f50d).html

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.

Research Area(s)

  • Dynamic optimization, Real business cycle model

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Publication fingerprints text

100
dynamics INIS
100
correlations INIS
100
equations INIS
100
RBC Model Keyphrases
100
Reduced Form Keyphrases
100
Model Computer Science
100
Time Series Economics, Econometrics a...
100
Real Business Cycle... Economics, Econometrics a...
50
Serial Correlation Keyphrases
50
Time-domain Analysi... Keyphrases
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Citation Format(s)

[ RIS ] [ BibTeX ]
How the basic RBC model fails to explain US time series. / Chow, Gregory C.; Kwan, Yum K.
In: Journal of Monetary Economics, Vol. 41, No. 2, 27.02.1998, p. 301-318.

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