Anticipated technology shocks : a re-evaluation using cointegrated technologies / by Joel Wagner.: FB3-5/2017-11E-PDF

"Two approaches have been taken in the literature to evaluate the relative importance of news shocks as a source of business cycle volatility. The first is an empirical approach that performs a structural vector autoregression to assess the relative importance of news shocks, while the second is a structural-model-based approach. The first approach suggests that anticipated technology shocks are an important source of business cycle volatility; the second finds anticipated technology shocks are incapable of generating any business cycle volatility. This paper challenges the latter conclusion by presenting a structural news shock model adapted to reproduce the cointegrating relationship between total factor productivity and the relative price of investment. With cointegrated neutral and investment-specific technology, anticipated shocks to the common stochastic trend explain approximately 22%, 32%, 34% and 20% of the variance of output, investment, hours and consumption in the United States, respectively, reconciling the discrepancy between theory and data"--Abstract, p. [ii].

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Publication information
Department/Agency Bank of Canada.
Title Anticipated technology shocks : a re-evaluation using cointegrated technologies / by Joel Wagner.
Series title Bank of Canada staff working paper, 1701-9397 ; 2017-11
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) "April 2017."
Includes bibliographical references (p. 20-21).
Includes abstract in French.
Publishing information [Ottawa] : Bank of Canada, 2017.
Author / Contributor Wagner, Joel.
Description [ii], 33 p. : charts
Catalogue number
  • FB3-5/2017-11E-PDF
Subject terms Technological innovation
Economic analysis
Economic impact
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