Download - Burda, WyploszMACROECONOMIA: UNA PROSPETTIVA EUROPEA ©EGEA 2006 Capitolo 14 Cicli economici
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Capitolo 14
Cicli economici
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Actual and Trend GDP, Detrended GDPUK: 1963-2002
Fig. 14.01
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Actual and trend GDP, UK, 1963-2002
Fig. 14.01 (a)
300
400
500
600
700
800
900
Q1/1963 Q1/1969 Q1/1975 Q1/1981 Q1/1987 Q1/1993 Q1/1999
Bill
ion
s o
f 19
95 P
oun
ds
GDP in 1995 prices Trend
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Real GDP in the UK, deviation from trend (%)
Fig. 14.01 (b)
Q1/1963 Q1/1969 Q1/1975 Q1/1981 Q1/1987 Q1/1993 Q1/1999-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
De
via
tion
fro
m T
rend
(%
)
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Descriptive statistics of business cycles1963-2002
Table 14.01
No. of Av. cycle length Maximum Minimum Av. Deviation completedcycles
peak to peak cycle length cycle length from midpoint(%)(quarters) (quarters) (quarters)
UK 4 21.5 25 19 4.2France 3 28.0 38 14 2.0Germany 5 19.0 27 11 3.8Italy 5 20.2 40 10 2.2Japan 2 46.5 73 20 4.0USA 4 31.3 42 17 3.4
Source: OECD Main Economic Indicators database, authors' calculations.
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Burns-Mitchell Diagrams for Real GDP:Eight countries, 1963-2002
Fig. 14.02
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Burns-Mitchell diagrams for real GDP, 1963-2002
Fig. 14.02 (a)
UK
0.86
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
-10 -8 -6 -4 -2 0 2 4 6 8 10
France
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
-10 -8 -6 -4 -2 0 2 4 6 8 10
Italy
0.86
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
-10 -8 -6 -4 -2 0 2 4 6 8 10
Germany
0.86
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Burns-Mitchell diagrams for real GDP, 1963-2002
Fig. 14.02 (b)
Japan
0.82
0.84
0.86
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
-10 -8 -6 -4 -2 0 2 4 6 8 10
Spain
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
-10 -8 -6 -4 -2 0 2 4 6 8 10
US
0.86
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
-10 -8 -6 -4 -2 0 2 4 6 8 10
Canada
0.84
0.86
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Overall reference cycle average (8 countries)1963-2002
Fig. 14.02 (c)
0.84
0.88
0.92
0.96
1.00
1.04
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Business cycle correlations of macroeconomic variables with output
1968-2002
Table 14.02
Consumption InvestmentGovernment
spending Exports Imports Prices Inflation
EU 0.86 0.90 -0.15 0.85 0.94 -0.45 0.30Japan 0.71 0.89 -0.03 0.47 0.64 -0.15 0.18USA 0.88 0.95 0.04 0.32 0.75 -0.75 0.15
Source: OECD Main Economic Indicators database
* Correlation coefficient of seasonally adjusted and detrended values using the Hodrick-Prescott filter.
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Leading and Lagging Indicators, 1968-2002(Eight countries)
Fig. 14.03
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Changes in inventories
Fig. 14.03 (a)
-0.6
-0.3
0.0
0.3
0.6
0.9
1.2
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Real stock prices
Fig. 14.03 (b)
0.85
0.90
0.95
1.00
1.05
1.10
1.15
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Capacity utilisation rate
Fig. 14.03 (c)
0.92
0.94
0.96
0.98
1.00
1.02
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Real effective exchange rate
Fig. 14.03 (d)
0.99
1.00
1.01
1.02
1.03
1.04
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Standardised unemployment rate
Fig. 14.03 (e)
0.9
1.0
1.1
1.2
1.3
1.4
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Inflation
Fig. 14.03 (f)
0.015
0.017
0.019
0.021
0.023
0.025
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Real money balances
Fig. 14.03 (g)
0.96
0.98
1.00
1.02
1.04
1.06
1.08
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Short-term nominal interest rate
Fig. 14.03 (h)
0.7
0.8
0.9
1.0
1.1
1.2
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Long-term nominal interest rate
Fig. 14.03 (i)
0.84
0.88
0.92
0.96
1.00
1.04
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Differential long- vs. short-term interest rate
Fig. 14.03 (j)
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Variability* of key macro variables over the cycle1964-2002
Table 14.03
GDP(%)
Consumption Investment Government purchases
Exports Imports Prices (GDP deflator)
EU 0.95 0.86 2.52 0.53 2.44 3.07 0.94Japan 1.18 0.81 2.43 0.71 3.28 4.44 0.65USA 1.61 0.80 2.68 0.77 2.68 3.12 0.54
*Variability is measured as the stantard deviation of seasonally adjusted and detrended values using the Hodrick-Prescott filter.
Source: OECD Main Economic Indicators and National Accounts databases
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Components of Aggregate Spending, 1968-2002(Eight Countries)
Fig. 14.04
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Private final consumption expenditure
Fig. 14.04 (a)
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
1.08
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Investment (gross fixed capital formation)
Fig. 14.04 (b)
0.92
0.94
0.96
0.98
1.00
1.02
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Government final consumption expenditure
Fig. 14.04 (c)
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Primary current account/GDP
Fig. 14.04 (d)
-0.005
0.000
0.005
0.010
-10 -8 -6 -4 -2 0 2 4 6 8 10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Deterministic cyclesin the multiplier-accelerator model
Fig. 14.05
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Deterministic cycles: dampened variant
-8
-6
-4
-2
0
2
4
6
8
0 20 40 60 80 100
Time
Ou
tpu
t
t t -1 t -2Y = Y - Y1.82 1.02
Fig. 14.05(a)
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Deterministic cycles: explosive variant
-20
-15
-10
-5
0
5
10
15
20
0 20 40 60 80 100
Time
Ou
tpu
t
t t -1 t -2Y = Y -Y1.8
Fig. 14.05(b)
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Deterministic cycles: perpetual variant
-8
-6
-4
-2
0
2
4
6
8
0 20 40 60 80 100
Time
Ou
tpu
t
t t -1 t -2Y = Y - Y1.78 0.98
Fig. 14.05(c)
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Impulse-propagation mechanism
Fig. 14.06
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Impulse-propagation mechanism
Economic System
CyclesRandom Shocks
Fig. 14.06
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Impulses and propagations: an example
200 random shocks, t (normal distribution, mean=0, st.dev.=0.3)
Filtered shocks: Yt = 1.3Yt-1 –0.4Yt-1+ t
Fig. 14.07
-2
-1
0
1
2
-3
-2
-1
0
1
2
3
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Propagating mechanism in AS-AD framework
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
0
Left: AS and AD Right: Just observations
AD
AS
A
Y -Y
0Y -Y
A
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
0
ADADAD
There is an increase in the rate of money growth
AS
A
AD
AS
A
B
Y -Y Y -Y
0
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Core inflation adjusts and AS shifts upwards
ADAD
ASASAS
A
AD
AS
A
B
Y -Y Y -Y
0 0
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Lagged responses of AD to the change in money growth leads to further shift of AD
AD
AS
AD
AS
A
AD
AS
A
B
C
Y -Y Y -Y
0 0
ADAD
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Further upward shift in core inflation and AS
AD
AS
ADAD
AS
A
AD
AS
A
B
CD
Y -Y Y -Y
0 0
ASAS
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Fall in output from C to D leads to drop in AD´´...
AD
AS
ADAD
ASAS
A
AD
AS
AB
CD
B
CD
Y -Y Y -Y
0 0
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Economy followed a loop in response to change in rate of growth of the money supply
AD
AS
A
Y -Y
0
When > , M/P falling so AD shifts left.
When < , M/P rising so AD shifts right.
When output gap is positive,> core inflation (AS has a positive slope), so AS shifts up.
When output gap is negative, < core inflation, so AS shifts down.
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Higher inflation and high output case
AD
AS
Y -Y
0
When > ´, M/P falling so AD shifts left.
When < ´, M/P rising so AD shifts right.
When output gap is positive,> core inflation (AS has a positive slope), so AS shifts up.
When output gap is negative, < core inflation, so AS shifts down.
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Higher inflation, low output case
AD
AS
Y -Y
0
When > ´, M/P falling so AD shifts left.
When < ´, M/P rising so AD shifts right.
When output gap is positive,> core inflation (AS has a positive slope), so AS shifts up.
When output gap is negative, < core inflation, so AS shifts down.
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Lower inflation, low output case
ADAS
Y -Y
0
When > ´, M/P falling so AD shifts left.
When < ´, M/P rising so AD shifts right.
When output gap is positive,> core inflation (AS has a positive slope), so AS shifts up.
When output gap is negative, < core inflation, so AS shifts down.
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Lower inflation, high output case
AD
AS
Y -Y
0
When > ´, M/P falling so AD shifts left.
When < ´, M/P rising so AD shifts right.
When output gap is positive,> core inflation (AS has a positive slope), so AS shifts up.
When output gap is negative, < core inflation, so AS shifts down.
Fig. 14.08
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Demand shock to West Germany (Unification)
Fig. 14.09
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
1994
1993
0.0
1.0
2.0
3.0
4.0
5.0
-2% -1% 0% 1% 2% 3%
Output (deviations from trend)
Infla
tion
(%
)
Counterclockwise loop observed in W. Germany
Fig. 14.09
1992
1991
1990
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Oil price shock of 1973-4: Supply shock
Fig. 14.10
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Riding out an adverse supply shockwithout an AD response
Output gap
Infla
tion
A
AD
ASB
AS´
AS
AA
Fig. 14.10(a)
0
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
1977
0
5
10
15
20
25
-3% -2% -1% 0% 1% 2% 3% 4% 5%
Output (deviations from trend)
Infla
tion
(%)
United Kingdom. Oil price shock 1973-74.
Fig. 14.10(c)
1976
1975
1974
1973
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Responding to adverse supply shockwith AD policy (militant anti-inflationist)
Infla
tion
A
AD
C
AS
AD´AD
AS´
AS
AA
D
Fig. 14.10(a)
Output gap0
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
1977
0
2
4
6
8
10
12
14
-3% -2% -1% 0% 1% 2% 3% 4% 5%
Output (deviations from trend)
Infl
atio
n (
%)
Switzerland. Oil price shock 1973-74.
Fig. 14.10(b)
1976
1975
19741973
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Variance of GDP decomposed (percent)
Source: Gerlach and Smets (1995)
Technical note: One year after shock, 1979:1–1993:4
Demand Supply Money Total
Canada 54 34 12 100France 19 80 1 100Germany 66 31 3 100
Italy 40 51 10 100Japan 11 87 2 100UK 32 64 4 100
USA 20 71 8 100
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
The Solow Residual and GDPGermany, 1961-1993
Fig. 14.11
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
W. Germany: Solow residual and GDP growth
-2
-1
0
1
2
3
4
5
6
7
8
1961 1965 1969 1973 1977 1981 1985 1989 1993
Per
cent
per
yea
r
Output
Solow residual
Fig. 14.11
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
A productivity shock that increases the marginal products of capital and labour
Fig. 14.12
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
When labour supply is inelastic...
Re
al i
nte
rest
rat
e
Capitalstock
Re
al w
ag
e
Labour
A´
A
1K
A´
A
LS(inelastic)
wr
r
MPK
MPK
w
MPL
MPL
...relatively large change in real wage
Fig. 14.12
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Re
al i
nte
rest
rat
e
Capitalstock
Re
al w
ag
e
Labour
A
1K
Aw A´´r
r
MPK
MPK
wLS(elastic)
MPL
MPL
When labour supply is elastic......relatively small change in real wage
A´
...and a large change in employment!
Fig. 14.12
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Intertemporal substitution of labour
Fig. 14.13
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Intertemporal substitution of labour
Leisure today
Leis
ure
tom
orro
w
A
B
1
2
-w 1+ r
w
w
w L Lr
l l21 1 1 2 21
Current wage increase......(as drawn) leads to substitution of less leisure today for more leisure tomorrow.
Fig. 14.13
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Cyclical patterns in the labour market,G8 countries, 1965-2003
Fig. 14.14
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Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA
©EGEA 2006
Cyclical patterns in the G8 labour markets
Fig. 14.14