No news in business cycles


Autoria(s): Forni, Mario; Gambetti, Luca; Sala, Luca
Contribuinte(s)

Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica

Institut d'Anàlisi Econòmica

Data(s)

09/06/2011

Resumo

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 are explained by shocks unrelated to technology.

Formato

30

390696 bytes

application/pdf

Identificador

http://hdl.handle.net/2072/152037

Idioma(s)

eng

Relação

Working papers; 862.11

Direitos

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Palavras-Chave #Cicles econòmics
Tipo

info:eu-repo/semantics/workingPaper