TY  - JOUR
AU  - Francis, Neville
AU  - Ramey, Valerie A
TI  - The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10631
PY  - 2004
Y2  - July 2004
DO  - 10.3386/w10631
UR  - http://www.nber.org/papers/w10631
L1  - http://www.nber.org/papers/w10631.pdf
N1  - Author contact info:
Neville Francis
Department of Economics
University of North Carolina
Gardner Hall, CB#3305
Chapel Hill, NC 27599
Tel: 919-966-5327
E-Mail: nfrancis@unc.edu

Valerie A. Ramey
Department of Economics, 0508
University of California, San Diego
9500 Gilman Drive
La Jolla, CA 92093-0508
Tel: 858/534-2388
Fax: 858/534-7040
E-Mail: vramey@ucsd.edu
M1  - published as Neville Francis, Valerie A. Ramey. "The Source of Historical Economic Fluctuations: An Analysis Using Long-Run Restrictions," in Richard H. Clarida, Jeffrey Frankel, Francesco Giavazzi and Kenneth D. West, editors, "NBER International Seminar on Macroeconomics 2004" The MIT Press (2006)

AB  - This paper investigates the source of historical fluctuations in annual US data extending back to the late 19th century. Long-run identifying restrictions are used to decompose productivity, hours, and output into technology shocks and non-technology shocks. A variety of models with differing auxiliary assumptions are investigated. The preferred model suggests that the Great Depression was a period in which both types of shocks were very negative. On the other hand, our estimates support the microeconomic evidence of historically large positive technology shocks from 1934 to 1936. Finally, both types of shocks are responsible for the reduction in the variance of output in the post-WWII period.
ER  -