| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7692
|
| DP7692 Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model |
| Mario Forni; Luca Gambetti
|
| 发表日期 | 2010-02-14
|
| 出版年 | 2010
|
| 语种 | 英语
|
| 摘要 | We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign restrictions, two non-policy shocks, demand and supply, and two policy shocks, monetary and fiscal. We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Policy matters: Both monetary and fiscal policy shocks have sizeable effects on output and prices, with little evidence of crowding-out; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large long-run positive effect on productivity, consistently with the Schumpeterian ``cleansing'' view of recessions. |
| 主题 | International Macroeconomics
|
| 关键词 | Demand
Fiscal policy
monetary policy
Sign restrictions
Structural factor model
Supply
|
| URL | https://cepr.org/publications/dp7692
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536529
|
推荐引用方式
GB/T 7714 |
Mario Forni,Luca Gambetti. DP7692 Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model. 2010.
|
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