Identifying a Permanent Markup Shock, and Its Implications for Macroeconomic Dynamics

• 영문명: Identifying a Permanent Markup Shock, and Its Implications for Macroeconomic Dynamics
• 발행기관: 한국계량경제학회
• 저자명: Bae-Geun Kim
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2009년 공동학술대회, 1~38쪽, 전체 38쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2008.11.30

영문 초록

A permanent markup shock is justi…ed using an industry-based model in which an increase in the market concentration raises the desired markup. In order to identify the markup shock with structural vector autoregressions, a new identi…- cation scheme is developed. Combined with standard long-run restrictions that can identify shocks to technology and aggregate demand, this paper shows that (1) in‡ation responds immediately to shocks to the markup and technology whereas it displays a hump-shaped response to a demand shock with no price puzzle, and that (2) per capita hours decline permanently in response to the markup shock whereas a technology shock lowers per capita hours only in the short-run. These empirical …ndings imply that in‡ation itself does not exhibit intrinsic inertia. Moreover, the results have important implications for the technology-hours debate, suggest- ing that the e¤ects of a technology shock may not be identi…ed correctly without consideration of the permanent markup shock.

목차

1 Introduction

2 Identi…cation strategy

3 Industry-based model for non-stationary markup

4 Evidence for non-stationary markup

5 Empirical impulse responses

6 Conclusions

키워드

Industrial concentration Markup shock Technology shock