Productivity, Energy Prices, and the Great Moderation: A New Link

نویسندگان

  • A New Link
  • Rajeev Dhawan
  • Karsten Jeske
چکیده

We study how total factor productivity (TFP), energy prices and the great moderation are linked. First, we estimate a joint stochastic process for the energy price and TFP and establish that until 1982:II, energy prices negatively affected productivity. This spill-over has since disappeared. Second, we show that within the framework of a Dynamic Stochastic General Equilibrium (DSGE) model, the disappearance of this energy-productivity spillover generates the significantly lower volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 percent of the moderation in output volatility. JEL codes: C22, E32, Q43

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تاریخ انتشار 2008