Non-stationary hours in a DSGE model

Yongsung Chang, Taeyoung Doh, Frank Schorfheide

Research output: Contribution to journalArticle

40 Citations (Scopus)

Abstract

The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Using Bayesian methods we estimate a stochastic growth model in which hours worked are stationary and a modified version with permanent labor supply shocks. If firms can freely adjust labor inputs, the data support the latter specification. Once we introduce frictions in terms of labor adjustment costs, the overall time series fit improves and the model specification in which labor supply shocks and hours worked are stationary is preferred.

Original languageEnglish
Pages (from-to)1357-1373
Number of pages17
JournalJournal of Money, Credit and Banking
Volume39
Issue number6
DOIs
Publication statusPublished - 2007 Sep 1

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Non-stationary hours in a DSGE model'. Together they form a unique fingerprint.

  • Cite this