Working Paper: NBER ID: w12243
Authors: Giorgio E. Primiceri; Ernst Schaumburg; Andrea Tambalotti
Abstract: Disturbances affecting agents intertemporal substitution are the key driving force of macroeconomic fluctuations. We reach this conclusion exploiting the bond pricing implications of an estimated general equilibrium model of the U.S. business cycle with a rich set of real and nominal frictions.
Keywords: intertemporal substitution; macroeconomic fluctuations; general equilibrium model
JEL Codes: E30; E32; E44
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| intertemporal disturbances (D15) | macroeconomic fluctuations (E39) |
| stochastic discount factor shock (bt) (D15) | consumption growth (E20) |
| investment-specific technology shock (t) (O39) | investment growth (E20) |
| investment-specific technology shock (t) (O39) | hours worked (J22) |
| intertemporal disturbances (D15) | output fluctuations (E39) |
| intertemporal disturbances (D15) | consumption fluctuations (E20) |
| intertemporal disturbances (D15) | investment fluctuations (G31) |
| intertemporal disturbances (D15) | hours worked fluctuations (J22) |