What do inventories tell us about news-driven business cycles?

• 成果类型: Article
• 署名作者: Crouzet, Nicolas; Oh, Hyunseung
• 署名单位: Northwestern University; Vanderbilt University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.03.005
• 发表日期: 2016
• 页码: 49-66
• 关键词: News shocks; business cycles; INVESTMENT; inventories; intertemporal substitution

摘要

There is widespread disagreement over the quantitative contribution of news shocks to business-cycle fluctuations. This paper provides a simple identifying restriction, based on inventory dynamics, that tightly pins down this contribution. Structural models predict that finished-good inventories should fall when there is an increase in consumption and investment induced by news shocks. A structural VAR with these sign restrictions indicates that news shocks account for at most 20 percent of output volatility. Since inventories comove positively with consumption and investment in the data, shocks that generate negative comovement cannot account for the bulk of fluctuations. (C) 2016 Elsevier B.V. All rights reserved.