Long-run growth expectations and "global imbalances" : [January 5, 2011]

This paper examines to what extent the build-up of "global imbalances" since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents’ perceptions of long-run growth are based on filtering 
This paper examines to what extent the build-up of "global imbalances" since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents’ perceptions of long-run growth are based on filtering observed changes in productivity. We show that long-run growth estimates based on filtering U.S. productivity data comove strongly with long-horizon survey expectations. By simulating the model in which agents filter data on U.S. productivity growth, we closely match the U.S. current account evolution. Moreover, with household preferences that control the wealth effect on labor supply, we can generate output movements in line with the data. JEL Classification: E13, E32, D83, O40
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Metadaten
Author:Mathias Hoffmann, Michael U. Krause, Thomas Laubach
URN:urn:nbn:de:hebis:30-91445
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,01
Series (Serial Number):CFS working paper series (2011, 01)
Document Type:Working Paper
Language:English
Year of Completion:2011
Year of first Publication:2011
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2011/02/14
Tag:Kalman filter; News and Business Cycles; Open Economy DSGE Models; Real-time Data; Trend Growth
SWD-Keyword:Adaptive Erwartung; Außenwirtschaftliches Gleichgewicht; Dynamisches Gleichgewicht; Erwartungsbildung; Konjunktur; Leistungsbilanz; Offene Volkswirtschaft; Produktivität; USA; Umfrage; Wirtschaftswachstum; Zahlungsbilanzausgleich; Zahlungsbilanzungleichgewicht
Issue:January 5, 2011
Pagenumber:41
HeBIS PPN:233047344
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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