A structural Factor-Augmented VAR model is used to evaluate the role of ``news'' shocks in generating the business cycle. We find that (i) existing small-scale VAR models are affected by ``non-fundamentalness'' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a smaller role in explaining the business cycle than previously found in the literature; (iii) their effects are essentially in line with what predicted by standard theories; (iv) a substantial fraction of business cycle fluctuations are explained by shocks unrelated to technology.

No news in business cycles

Sala, Luca
2014

Abstract

A structural Factor-Augmented VAR model is used to evaluate the role of ``news'' shocks in generating the business cycle. We find that (i) existing small-scale VAR models are affected by ``non-fundamentalness'' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a smaller role in explaining the business cycle than previously found in the literature; (iii) their effects are essentially in line with what predicted by standard theories; (iv) a substantial fraction of business cycle fluctuations are explained by shocks unrelated to technology.
2014
2013
Forni, Mario; Gambetti, Luca; Sala, Luca
File in questo prodotto:
File Dimensione Formato  
acceptance_letter.pdf

non disponibili

Tipologia: Altro materiale allegato
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 166.82 kB
Formato Adobe PDF
166.82 kB Adobe PDF   Visualizza/Apri
sala_paper.pdf

non disponibili

Tipologia: Documento in Pre-print (Pre-print document)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 628.16 kB
Formato Adobe PDF
628.16 kB Adobe PDF   Visualizza/Apri
Forni_Gambetti_Sala-2014-EJ.pdf

non disponibili

Tipologia: Pdf editoriale (Publisher's layout)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 1.19 MB
Formato Adobe PDF
1.19 MB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3856909
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 51
  • ???jsp.display-item.citation.isi??? 47
social impact