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In this paper, we examine empirically the predictions of a range of theoretical models which give a prominent role to technology shocks in explaining business cycles. To this end, we estimate (4-digit SIC) industry-level VAR models for US manufacturing using real output, the real wage and utilization corrected measures of technology and labor input. Our results support both sticky-wage DGE and RBC models over sticky-price DGE models. Moreover, they cast some doubt on the importance of technology shocks as propulsive mechanism for business cycles at the industry level.

The purpose of this paper is to examine empirically the predictions of a range of theoretical models, which give a prominent role to technology shocks in explaining business cycles. The theoretical representations include RBC-type (see, e.g. Kydland and Prescott, 1982; Long and Plosser, 1983; King and Plosser, 1984) and New Keynesian DGE-type models which allow for wage and price rigidity (see, e.g. Goodfriend and King, 1997; Rotemberg and Woodford, 1997; Galı́, 1999). Notable empirical contributions which examine the impact of technology shocks include Galı́ (1999), Basu et al. (1998) and Shea (1998).1 This paper makes a contribution to the empirical literature on business cycles by estimating (4-digit SIC) industry level VAR models using real output, the real wage and utilization corrected measures of technology and labor input.

In this paper, we have estimated industry-level VAR models to verify the relevance of alternative theoretical modeling approaches to the business cycle. By not using aggregate data, or aggregating industry technology shocks, we extend the Galı́ (1999) and Basu et al. (1998) papers. As we have seen, this leads to a very different perspective on the co-movements of key variables over the business cycle. We have shown that there is only limited support for a sticky-price/imperfect competition approach to the business cycle, despite the popularity of this approach in recent theoretical models. The main problem seems to lie in the prediction of the sticky-price model of a negative response of factor input levels (such as employment) to technology shocks. In contrast our results are much more supportive of sticky-wage DGE and RBC models.