An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency DomainIndian Rupee

• 成果类型: Article
• 署名作者: Forni, Mario; Gambetti, Luca; Granese, Antonio; Sala, Luca; Soccorsi, Stefano
• 署名单位: Universita di Modena e Reggio Emilia; University of Turin; Universita di Modena e Reggio Emilia; Bocconi University; Lancaster University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20230295
• 发表日期: 2025
• 页码: 311-341
• 关键词: business-cycle; aggregate demand; monetary-policy; number; INFORMATION; permanent; credit; news

摘要

We provide a few new empirical facts that theoretical models should feature in order to be consistent with the data. (i) There are two classes of shocks: demand and supply. Supply shocks have long-run effects on economic activity; demand shocks do not. (ii) Both supply and demand shocks are important sources of business cycles' fluctuations. (iii) Supply shocks are the primary driver for consumption fluctuations, demand shocks for investment. (iv) The demand shock is closely related to the credit spread, while the supply shock is essentially a news shock. The results are obtained using a novel frequency domain method. (JEL C32, E32)