| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17281 |
| DP17281 The Main Business Cycle Shock(s): Frequency-Band Estimation of the Number of Dynamic Factors | |
| Marco Avarucci; Maddalena Cavicchioli; Mario Forni; Paolo Zaffaroni | |
| 发表日期 | 2022-05-05 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We introduce a consistent estimator for the number of shocks driving dynamic macroeconomic models that can be written as large factor models. Our estimator can be applied to single frequencies as well as to specific frequency bands, making it suitable for disentangling shocks affecting the macroeconomy. Its small-sample performance in simulations is excellent, even in estimating the number of shocks that drive DSGE models. Based on the FRED-QD dataset, we find that the U.S. macroeconomy is driven by two shocks: an inflationary demand shock and a deflationary supply shock. The demand shock is the most important. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp17281 |
| 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/546301 |
| 推荐引用方式 GB/T 7714 | Marco Avarucci,Maddalena Cavicchioli,Mario Forni,et al. DP17281 The Main Business Cycle Shock(s): Frequency-Band Estimation of the Number of Dynamic Factors. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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