Equilibrium Growth, Inflation, and Bond Yields - Duke University's ...

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x y−k c−k Figure 4: Level Dynamics (Expected Growth Shock) 0.29 0.28 0.27 0.26 LRP Shock (! x > 0) 0.25 0 1 2 3 0.6 0.4 0.2 0 −0.2 0 1 2 3 0.8 0.6 0.4 0.2 0 0 1 quarters 2 3 i−k l w−k 0.5 0 −0.5 LRR Shock (! x > 0) −1 0 1 2 3 0 −0.05 −0.1 −0.15 −0.2 0 1 2 3 0.8 0.6 0.4 0.2 0 0 1 quarters 2 3 This figure shows quarterly log-deviations from the steady state for the exogenous growth model EXO 2 from a one standard deviation shock to expected productivity growth. All deviations are in annualized percentage units. 47
m a 5.5 5 4.5 −50 −100 Technology Shock (! > 0) 4 0 5 10 15 20 50 0 −150 0 5 10 quarters 15 20 Figure 5: Asset Prices y (20) − y (1) r d − r f 8 6 4 2 0.15 0.05 Technology Shock (! > 0) 0 0 5 10 15 20 0.1 0 −0.05 0 5 10 quarters 15 20 This figure shows quarterly log-deviations from the steady state for the benchmark endogenous growth model ENDO 1 from a one standard deviation shock to technology. All deviations are in annualized percentage units. 48
Page 1 and 2: Equilibrium Growth, Inflation, and
Page 3 and 4: allows these models to reconcile a
Page 5 and 6: the model creates a strong feedback
Page 7 and 8: policy on growth dynamics, my paper
Page 9 and 10: Intermediate Goods The intermediate
Page 11 and 12: The intermediate firms face a cost
Page 13 and 14: The aggregate resource constraint i
Page 15 and 16: endogenous stochastic trend. Furthe
Page 17 and 18: endogenous growth model, ENDO 2 is
Page 19 and 20: one exogenous shock. In the two exo
Page 21 and 22: consumption of goods and leisure in
Page 23 and 24: nominal yield curve and sizeable te
Page 25 and 26: this point. Note that the dashed li
Page 27 and 28: have particularly low payoffs when
Page 29 and 30: Croce, Massimiliano, 2008, Long-Run
Page 31 and 32: 7 Appendix 7.1 Data Annual and quar
Page 33 and 34: where Pt is the nominal price for t
Page 35 and 36: Define the following terms from the
Page 37 and 38: 7.5 Derivation of the New Keynesian
Page 39 and 40: Table 2: Macroeconomic Moments Data
Page 41 and 42: Table 5: Consumption Growth Forecas
Page 43 and 44: Table 9: Volatility of Low-Frequenc
Page 45 and 46: ! n ! c 0.02 0.01 0 −0.01 Figure
Page 47: a " n E[" z] 5.5 5 4.5 Figure 3: Ex
Page 51 and 52: Figure 7: Expected Inflation and Gr
Page 53: std(! y) std(E[! c]) E[r d −r f ]

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