| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8274 |
| DP8274 No News in Business Cycles | |
| Mario Forni; Luca Sala; Luca Gambetti | |
| 发表日期 | 2011-02-28 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Fundamentalness Invertibility News shocks Structural factor model |
| URL | https://cepr.org/publications/dp8274 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537111 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Sala,Luca Gambetti. DP8274 No News in Business Cycles. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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