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Business cycle asymmentries: An investment cost approach

In this paper, investment cost asymmetry is introduced in order to test wheter this kind of asymmetry can account for asymmetries in business cycles. By using a smooth transition function, asymmetric investment cost is modeled and introduced in a canonical RBC model. Simulations of the model with Pe...

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Autor Principal: Gómez, Wilman
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Universidad del Rosario 2014
Materias:
Producción
Economía
Inversiones
Ciclos económicos
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10969
id ir-10336-10969
recordtype dspace
spelling ir-10336-109692019-09-19T12:37:01Z Business cycle asymmentries: An investment cost approach Gómez, Wilman Producción Economía Inversiones Ciclos económicos In this paper, investment cost asymmetry is introduced in order to test wheter this kind of asymmetry can account for asymmetries in business cycles. By using a smooth transition function, asymmetric investment cost is modeled and introduced in a canonical RBC model. Simulations of the model with Perturbations Method (PM) are very close to simulations through Parameterized Expectations Algorithm (PEA), which allows the use of the former for the sake of time reduction and computational costs. Both symmetric and asymmetric models were simulated and compared. Deterministic and stochastic impulse-response excersices revealed that it is possible to adequately reproduce asymmetric business cycles by modeling asymmetric investment costs. Simulations also showed that higher order moments are insu_cient to detect asymmetries. Instead, methods such as Generalized Impulse Response Analysis (GIRA) and Nonlinear Econometrics prove to be more e_cient diagnostic tools. 2014 2015-10-06T12:37:44Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/10969 Universidad del Rosario eng info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Producción
Economía
Inversiones
Ciclos económicos
spellingShingle Producción
Economía
Inversiones
Ciclos económicos
Gómez, Wilman
Business cycle asymmentries: An investment cost approach
description In this paper, investment cost asymmetry is introduced in order to test wheter this kind of asymmetry can account for asymmetries in business cycles. By using a smooth transition function, asymmetric investment cost is modeled and introduced in a canonical RBC model. Simulations of the model with Perturbations Method (PM) are very close to simulations through Parameterized Expectations Algorithm (PEA), which allows the use of the former for the sake of time reduction and computational costs. Both symmetric and asymmetric models were simulated and compared. Deterministic and stochastic impulse-response excersices revealed that it is possible to adequately reproduce asymmetric business cycles by modeling asymmetric investment costs. Simulations also showed that higher order moments are insu_cient to detect asymmetries. Instead, methods such as Generalized Impulse Response Analysis (GIRA) and Nonlinear Econometrics prove to be more e_cient diagnostic tools.
format Documento de trabajo (Working Paper)
author Gómez, Wilman
author_facet Gómez, Wilman
author_sort Gómez, Wilman
title Business cycle asymmentries: An investment cost approach
title_short Business cycle asymmentries: An investment cost approach
title_full Business cycle asymmentries: An investment cost approach
title_fullStr Business cycle asymmentries: An investment cost approach
title_full_unstemmed Business cycle asymmentries: An investment cost approach
title_sort business cycle asymmentries: an investment cost approach
publisher Universidad del Rosario
publishDate 2014
url http://repository.urosario.edu.co/handle/10336/10969
_version_ 1645141754154844160
score 12,131701

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