Araştırma Makalesi
Yıl 2024,
Cilt: 6 Sayı: 1, 1 - 14, 09.02.2024
Öz
In recent years, considerable attention has given to analyzing the business cycle in terms of money. Many researchers have developed dynamic stochastic general equilibrium models that generate business cycle facts and guide for making monetary policy decisions. The aim of this study is to investigate how the persistence of total factor productivity (TFP) and money growth shocks drive the business cycles within an economy. To achieve this aim, we employ a monetary business cycle model with a cash-in-advance constraint, as in Cooley and Hansen (1995). Our results indicate that the volatility of macroeconomic variables is higher when the persistence of TFP shocks is greater compared to that of money growth shocks. Furthermore, TFP shocks seem to have a more significant role in driving variability within the models compared to money growth shocks. This is demonstrated by the higher percentage of variance decomposition attributed to TFP shocks, except in the case of consumption variability.
Anahtar Kelimeler
TFP shocks money growth shocks monetary business cycle model business cycle
Kaynakça
- Alexopoulos, M. (2011). Read All about It! What Happens Following a Technology Shock? American Economic Review, American Economic Association, vol. 101(4), pages 1144-1179.
- Ball, L. & Romer, D. (1990). Real Rigidities and the Non-neutrality of Money,” The Review of Economic Studies, 57(2), 183–203.
- Bergin, P. R. (2003). Putting the New Open Economy Macroeconomics to a Test. Journal of International Economics 60, 3–34.
- Blanchard, O., and J. Gali (2007). Real Wage Rigidities and the New Keynesian Model. Journal of Money, Credit, and Banking, supplement to vol. 39, 1, 35–66.
- Canova, F. & Menz, T. (2011). Does Money Matter in Shaping Domestic Business Cycles? An International Investigation. Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 577-607.
- Chari, V.V., Kehoe, P.J. & McGrattan, E.R. (1996). Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem? Federal Reserve Bank of Minneapolis, Research Department Staff Report, vol. 217.
- Christiano, L., M. Eichenbaum, and C. Evans. (2005). Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy, 113(1): 1–45.
- Cooley, T. F. & Hansen, G. D. (1989). The Inflation Tax in a Real Business Cycle Model. American Economic Review, American Economic Association, vol. 79(4), pages 733-748.
- Cooley, T. F. & Hansen, G. D. (1998). The Role of Monetary Shocks in Equilibrium Business Cycle Theory: Three Examples. European Economic Review, Elsevier, vol. 42(3-5), pages 605-617.
- Cooley, T.F. & Prescott, E.C. (1995). Economic Growth and Business Cycles, Cooley, T.F., editor, Frontiers of Business Cycle Research, Princeton University Press, Chapter 1.
- Cooley, T.F. & Hansen, G.D. (1995). Money and the Business Cycle, Cooley, T.F., editor, Frontiers of Business Cycle Research, Princeton University Press, Chapter 7.
- Cooley, T. F. & Dwyer, M. (1998). Business Cycle Analysis Without Much Theory A Look at Structural VARs. Journal of Econometrics, Elsevier, vol. 83(1-2), pages 57-88.
- Greenwood, J., Hercowitz, Z. & Huffman, G. W. (1988). Investment, Capacity Utilization, and the Real Business Cycle. American Economic Review, American Economic Association, vol. 78(3), pages 402-417.
- Hansen, G.D. & Wright, R. (1992). The Labor Market in Real Business Cycle Theory. Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 16(Spr), pages 2-12.
- Jeanne, O. (1998). Generating Real Persistent Effects of Monetary Shocks: How Much Nominal Rigidity Do We Really Need? European Economic Review, Elsevier, vol. 42(6), pages 1009-1032.
- Kydland, F. E. & Prescott, E.C. (1982). Time to Build and Aggregate Fluctuations. Econometrica, vol. 50 ( 6 ), pages 1345-70.
- King, R.G. & Watson, W.W. (1996). Money, Prices, Interest Rates and the Business Cycle. The Review of Economics and Statistics, vol. 78, no. 1, pages 35-53.
- Mankiw, N.G. (1989). Real Business Cycles: A New Keynesian Perspective. Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 79-90.
- Ohanian, L. E., Stockman, A. C. and Kilian, L. (1995). The Effects of Real and Monetary Shocks in a Business Cycle Model with Some Sticky Prices. Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1209-1234.
- Poghosyan, T. & Beidas-Strom, S. (2011). An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy. IMF Working Papers. International Monetary Fund.
- Stadler, G.W. (1994). Real Business Cycles. Journal of Economic Literature, American Economic Association, vol. 32(4), pages 1750-1783.
- Shea, J. (1999). What Do Technology Shocks Do?. NBER Chapters, in: NBER Macroeconomics Annual 1998, volume 13, pages 275-322, National Bureau of Economic Research, Inc.
Yıl 2024,
Cilt: 6 Sayı: 1, 1 - 14, 09.02.2024
Öz
Kaynakça
- Alexopoulos, M. (2011). Read All about It! What Happens Following a Technology Shock? American Economic Review, American Economic Association, vol. 101(4), pages 1144-1179.
- Ball, L. & Romer, D. (1990). Real Rigidities and the Non-neutrality of Money,” The Review of Economic Studies, 57(2), 183–203.
- Bergin, P. R. (2003). Putting the New Open Economy Macroeconomics to a Test. Journal of International Economics 60, 3–34.
- Blanchard, O., and J. Gali (2007). Real Wage Rigidities and the New Keynesian Model. Journal of Money, Credit, and Banking, supplement to vol. 39, 1, 35–66.
- Canova, F. & Menz, T. (2011). Does Money Matter in Shaping Domestic Business Cycles? An International Investigation. Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 577-607.
- Chari, V.V., Kehoe, P.J. & McGrattan, E.R. (1996). Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem? Federal Reserve Bank of Minneapolis, Research Department Staff Report, vol. 217.
- Christiano, L., M. Eichenbaum, and C. Evans. (2005). Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy, 113(1): 1–45.
- Cooley, T. F. & Hansen, G. D. (1989). The Inflation Tax in a Real Business Cycle Model. American Economic Review, American Economic Association, vol. 79(4), pages 733-748.
- Cooley, T. F. & Hansen, G. D. (1998). The Role of Monetary Shocks in Equilibrium Business Cycle Theory: Three Examples. European Economic Review, Elsevier, vol. 42(3-5), pages 605-617.
- Cooley, T.F. & Prescott, E.C. (1995). Economic Growth and Business Cycles, Cooley, T.F., editor, Frontiers of Business Cycle Research, Princeton University Press, Chapter 1.
- Cooley, T.F. & Hansen, G.D. (1995). Money and the Business Cycle, Cooley, T.F., editor, Frontiers of Business Cycle Research, Princeton University Press, Chapter 7.
- Cooley, T. F. & Dwyer, M. (1998). Business Cycle Analysis Without Much Theory A Look at Structural VARs. Journal of Econometrics, Elsevier, vol. 83(1-2), pages 57-88.
- Greenwood, J., Hercowitz, Z. & Huffman, G. W. (1988). Investment, Capacity Utilization, and the Real Business Cycle. American Economic Review, American Economic Association, vol. 78(3), pages 402-417.
- Hansen, G.D. & Wright, R. (1992). The Labor Market in Real Business Cycle Theory. Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 16(Spr), pages 2-12.
- Jeanne, O. (1998). Generating Real Persistent Effects of Monetary Shocks: How Much Nominal Rigidity Do We Really Need? European Economic Review, Elsevier, vol. 42(6), pages 1009-1032.
- Kydland, F. E. & Prescott, E.C. (1982). Time to Build and Aggregate Fluctuations. Econometrica, vol. 50 ( 6 ), pages 1345-70.
- King, R.G. & Watson, W.W. (1996). Money, Prices, Interest Rates and the Business Cycle. The Review of Economics and Statistics, vol. 78, no. 1, pages 35-53.
- Mankiw, N.G. (1989). Real Business Cycles: A New Keynesian Perspective. Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 79-90.
- Ohanian, L. E., Stockman, A. C. and Kilian, L. (1995). The Effects of Real and Monetary Shocks in a Business Cycle Model with Some Sticky Prices. Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1209-1234.
- Poghosyan, T. & Beidas-Strom, S. (2011). An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy. IMF Working Papers. International Monetary Fund.
- Stadler, G.W. (1994). Real Business Cycles. Journal of Economic Literature, American Economic Association, vol. 32(4), pages 1750-1783.
- Shea, J. (1999). What Do Technology Shocks Do?. NBER Chapters, in: NBER Macroeconomics Annual 1998, volume 13, pages 275-322, National Bureau of Economic Research, Inc.
Toplam 22 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | Mikro İktisat (Diğer) |
| Bölüm | Research Articles |
| Yazarlar | |
| Erken Görünüm Tarihi | 9 Şubat 2024 |
| Yayımlanma Tarihi | 9 Şubat 2024 |
| Kabul Tarihi | 5 Aralık 2023 |
| Yayımlandığı Sayı | Yıl 2024 Cilt: 6 Sayı: 1 |
Kaynak Göster
BILTÜRK Journal of Economics and Related Studies Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) altında çalışmaktadır.