Pigouvian Cycles

• 成果类型: Article
• 署名作者: Faccini, Renato; Melosi, Leonardo
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago; European University Institute; Centre for Economic Policy Research - UK
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20190467
• 发表日期: 2022
• 页码: 281-318
• 关键词: business cycles; stock-prices; natural rate; news shocks; DSGE models; unemployment; LABOR; fluctuations; INVESTMENT; inflation

摘要

Current and expected unemployment rates contain information that is highly useful to estimate the effect of news about TFP and to allow a general equilibrium rational expectations model to generate Pigouvian cycles: a large fraction of the comovement of output, consumption, investment, employment, and real wages is explained by noise about TFP. These results emerge because of the low -frequency negative relationship between unemployment and TFP growth. The model predicts that the start (end ) of most US recessions is associated with agents realizing that previous enthusiastic (lukewarm) expectations about future TFP would not be met.