What's News in Business Cycles

• 成果类型: Article
• 署名作者: Schmitt-Grohe, Stephanie; Uribe, Martin
• 署名单位: Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA8050
• 发表日期: 2012
• 页码: 2733-2764
• 关键词: policy; INVESTMENT; models

摘要

In the context of a dynamic, stochastic, general equilibrium model, we perform classical maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to business cycles in the postwar United States. Our identification approach relies on the fact that forward-looking agents react to anticipated changes in exogenous fundamentals before such changes materialize. It further allows us to distinguish changes in fundamentals by their anticipation horizon. We find that anticipated shocks account for about half of predicted aggregate fluctuations in output, consumption, investment, and employment.