Data di Pubblicazione:
2011
Citazione:
Forni, M., L., Gambetti e L., Sala. "No News in Business Cycles" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2011.
Abstract:
This paper uses a structural, large dimensional factor model to evaluate the role of ‘news’
shocks (shocks with a delayed effect on productivity) in generating the business cycle.
We find that (i) existing small-scale VECM models are affected by ‘non-fundamentalness’
and therefore fail to recover the correct shock and impulse response functions; (ii) news
shocks have a limited role in explaining the business cycle; (iii) their effects are in line
with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations is explained by shocks unrelated to technology
shocks (shocks with a delayed effect on productivity) in generating the business cycle.
We find that (i) existing small-scale VECM models are affected by ‘non-fundamentalness’
and therefore fail to recover the correct shock and impulse response functions; (ii) news
shocks have a limited role in explaining the business cycle; (iii) their effects are in line
with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations is explained by shocks unrelated to technology
Tipologia CRIS:
Working paper
Keywords:
structural factor model, news shocks, invertibility, fundamentalness
Elenco autori:
Forni, M.; Gambetti, L.; Sala, L.
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