EnglishThis 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.
Forni, Mario, Gambetti, Luca e Sala, Luca. "No News in Business Cycles" Working paper, DISCUSSION PAPER SERIES, CEPR (Center for Economic Policy Research), 2011.
| Titolo: | No News in Business Cycles |
| Autore/i: | Forni, Mario; Luca, Gambetti; Luca, Sala |
| Autore/i UNIMORE: | |
| Data di pubblicazione: | 2011 |
| Mese di pubblicazione: | Febbraio |
| Serie: | DISCUSSION PAPER SERIES |
| Citazione: | Forni, Mario, Gambetti, Luca e Sala, Luca. "No News in Business Cycles" Working paper, DISCUSSION PAPER SERIES, CEPR (Center for Economic Policy Research), 2011. |
| Tipologia | Working paper |
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