Explaining the Durable Goods Co-movement Puzzle with Non-Separable Preferences: A Bayesian Approach
2013/04/02
研討會日期 : 2013-04-02
時間 : 14:30
主講人 : Professor Yi-Chan Tsai
地點 : Conference Room B110
演講者簡介 : Yi-Chan Tsai received his Ph.D. in Economic from The Ohio State University in 2010. He is currently serving as Assistant Professor of Economics at National Taiwan University. His research field is in macroeconomics, monetary economics and computational economics.
演講摘要 : Standard two-sector sticky price model with flexibly priced durables depicts negative co-movement between durables and non-durables after a monetary policy shock, which is at odds with the empirical evidence. This paper proposes a new channel, non-separable preferences with near zero wealth effect on labor hours, as a solution to the co-movement puzzle. In contrast to the standard model where the aggregate hours remain relatively unchanged after the contractionary policy shock, aggregate labor hours fall along with the fall in labor wage, discouraging production in both durable and non-durable sector. We further compare our model's explanatory power with two other alternatives that can resolve the puzzle by using a Bayesian approach. Based on log marginal likelihood and cross-correlation comparison exercises, we find the evidence that data strongly favors working capital model (Tsai, 2010) over all the alternative specifications.
