News-driven business cycles in small open economies

• 成果类型: Article
• 署名作者: Kamber, Gunes; Theodoridis, Konstantinos; Thoenissen, Christoph
• 署名单位: Bank for International Settlements (BIS); Bank of England; University of Sheffield; Reserve Bank of New Zealand
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2016.12.005
• 发表日期: 2017
• 页码: 77-89
• 关键词: News shocks; business cycles; Open economy macroeconomics; financial frictions; VaR

摘要

The focus of this paper is on news-driven business cycles in small open economies. We make two significant contributions. First, we develop a small open economy model where the presence of financial frictions permits the replication of business cycle co-movements in response to news shocks. Second, we use VAR analysis to identify news shocks using data on four advanced small open economies. We find that expected shocks about the future Total Factor Productivity generate business cycle co-movements in output, hours, consumption and investment. We also find that news shocks are associated with countercyclical current account dynamics. Our findings are robust across a number of alternative identification schemes. (C) 2017 The Authors. Published by Elsevier B.V.