...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of Economic Dynamics and Control >Do TFP and the relative price of investment share a common Ⅰ(1) component?
【24h】

Do TFP and the relative price of investment share a common Ⅰ(1) component?

机译：TFP和投资的相对价格是否具有共同的Ⅰ（1）成分？

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Results from cointegration tests clearly suggest that TFP and the relative price of investment (RPI) are not cointegrated. Evidence on the alternative possibility that they may nonetheless contain a common Ⅰ(1) component generating long-horizon co-variation between them crucially depends on the fact that (ⅰ) structural breaks are, or are not allowed for, and (ⅱ) the precise nature and timing of such breaks. Not allowing for breaks, evidence points towards the presence of a common component inducing positive long-horizon covariation, which is compatible with the notion that the technology transforming consumption goods into investment goods is non-linear, and the RPI is also impacted upon by neutral shocks. Allowing for breaks, evidence suggests that long-horizon covariation is either nil or negative. Assuming, for illustrative purposes, that the two series contain a common component inducing negative long-horizon covariation, evidence based on structural VARs shows that this common shock (ⅰ) plays an important role in macroeconomic fluctuations, explaining sizeable fractions of the forecast error variance of main macro series, and (ⅱ) generates 'disinflationary booms', characterized by transitory increases in hours, and decreases in inflation.
机译：协整测试的结果清楚地表明，全要素生产率和相对投资价格（RPI）没有协整。关于它们可能仍包含共同的Ⅰ（1）成分并在它们之间产生长水平协变量的另一种可能性的证据，关键取决于以下事实：（ⅰ）结构性断裂是允许的，还是不允许的；以及（ⅱ）结构性断裂此类休息的确切性质和时机。不允许中断，证据表明存在导致正长水平协方差的公共成分，这与以下观点兼容：将消费品转换为投资品的技术是非线性的，RPI也受到中性的影响震惊。考虑到休息时间，证据表明长期水平协变量为零或为负。出于说明目的，假设两个系列包含一个共同的分量，导致负的长期水平协变量，则基于结构变量的证据表明，这种共同的冲击（ⅰ）在宏观经济波动中起着重要的作用，解释了预测误差方差的可观部分（macro）产生“通货膨胀热潮”，其特征是工时短暂增加，通货膨胀降低。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号