TFP, NEWS, AND SENTIMENTS: THE INTERNATIONAL TRANSMISSION OF BUSINESS CYCLES

• 成果类型: Article
• 署名作者: Levchenko, Andrei A.; Pandalai-Nayar, Nitya
• 署名单位: University of Michigan System; University of Michigan; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvy044
• 发表日期: 2020
• 页码: 302-341
• 关键词: monetary-policy shocks; economic-fluctuations; aggregate demand; stock-prices; TECHNOLOGY; restrictions

摘要

We propose a novel identification scheme for a nontechnology business cycle shock, which we label sentiment. This is a shock orthogonal to identified surprise and news TFP shocks that maximize the short-run forecast error variance of an expectational variable, alternatively a GDP forecast or a consumer confidence index. We then estimate the international transmission of three identified shocks-surprise TFP, news of future TFP, and sentiment-from the United States to Canada. The US sentiment shock produces a business cycle in the United States, with output, hours, and consumption rising following a positive shock, and accounts for the bulk of the US short-run business cycle fluctuations. The sentiment shock also has a significant impact on Canadian macroaggregates. In the short run, it is more important than either the surprise or the news TFP shocks in generating business cycle comovement between the United States and Canada, accounting for over 40% of the forecast error variance of Canadian GDP and over one-third of Canadian hours, imports, and exports. The news shock is responsible for some comovement at 5-10 years, and surprise TFP innovations do not generate synchronization. We provide a simple theoretical framework to illustrate how the US sentiment shocks can transmit to Canada.