Trends, cycles and lost decades: Decomposition from a DSGE model with endogenous growth
Trends, cycles and lost decades: Decomposition from a DSGE model with endogenous growth
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DOI：
10.1016/j.japwor.2018.02.003
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发表时间：
2018-06-01
影响因子：
1.3
通讯作者：
Nakamura, Daisuke
中科院分区：
文献类型：
--
作者：
Hasumi, Ryo;Iiboshi, Hirokuni;Nakamura, Daisuke
本文将内生生产率增长纳入一个中等尺度的新凯恩斯动态随机一般均衡模型，在该模型中加入了关于R&D活动的新冲击。通过将模型参数与1980年第二季度至2013年第四季度的日本经济进行匹配，并将产出分解为趋势成分和周期成分，我们发现，所谓的失去的十年的停滞是由经济增长放缓以及商业周期中的重大衰退造成的。我们的模型估计的共同趋势是基于多个时间序列数据的，并且比由Hodrick-Prescott或带通滤波器提取的趋势更不稳定。(C)2018爱思唯尔B.V.保留所有权利。
In this paper we incorporate endogenous productivity growth into a medium-scale new Keynesian dynamic stochastic general equilibrium (DSGE) model, to which a new shock regarding R&D activities is added. By matching the model parameters to the Japanese economy from 1980:Q2 to 2013:Q4 and decomposing the output into trend and cycle components, we find that the stagnation of the so-called lost decades was caused by a decline in economic growth as well as major recessions in the business cycle. The common trend estimated by our model is based on multiple time series data and is much more volatile than the trend extracted by either the Hodrick-Prescott or the band-pass filter. (C) 2018 Elsevier B.V. All rights reserved.