NO NEWS IN BUSINESS CYCLES

• 成果类型: Article
• 署名作者: Forni, Mario; Gambetti, Luca; Sala, Luca
• 署名单位: Universita di Modena e Reggio Emilia; Centre for Economic Policy Research - UK; Autonomous University of Barcelona; Barcelona School of Economics; Bocconi University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12111
• 发表日期: 2014
• 页码: 1168-1191
• 关键词: dynamic-factor model; fluctuations; demand; number

摘要

A structural factor-augmented VAR model is used to evaluate the role of 'news shocks' in generating the business cycle. We find that existing small-scale VAR models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; news shocks have a smaller role in explaining the business cycle than previously found in the literature; their effects are essentially in line with what predicted by standard theories and a substantial fraction of business cycle fluctuations are explained by shocks unrelated to technology.