No News in Business Cycles
Bibliographic Data
| ID | 9718394 |
|---|---|
| Authors | Mario Forni (0000-0003-0256-8735, Università di Modena e Reggio Emilia, CEPR and RECent), Luca Gambetti (Universitat Autonoma de Barcelona and Barcelona GSE), Luca Sala (0000-0001-8528-031X, Università Bocconi, IGIER and Paolo Baffi Centre) |
| Year | 2014 |
| Volume | 124 |
| Issue | 581 |
| Pages | 1168-1191 |
| Publication date | 2014-12-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/ecoj.12111 |
| OpenAlex | W3123765005 |
| Language | EN |
| Citations received | 9 |
| References cited | 33 |
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
Business cycle · Econometrics · Economics · Impulse response · Macroeconomics · Shock (circulatory · Vector autoregression · Economic Theory and Policy · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Estimating Macroeconomic News and Surprise Shocks
Informing DSGE Models Through Dynamic Factor Models
Noise shocks and business cycle fluctuations in three major European Economies
A systematic literature review on business cycle approaches
Common Components Structural VARs
Patent-Based News Shocks
Escalating Tension and the War in Ukraine
Noise Bubbles
Sentiments in SVARs
Are Technology Improvements Contractionary?
What are the effects of monetary policy on output? Results from an agnostic identification procedure
Determining the Number of Factors in Approximate Factor Models
Inferential Theory for Factor Models of Large Dimensions
Forecasting Using Principal Components From a Large Number of Predictors
Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
Macroeconomic Forecasting Using Diffusion Indexes
Determining the Number of Primitive Shocks in Factor Models
The Generalized Dynamic-Factor Model
Two Models of Measurements and the Investment Accelerator
| Unique citing works | 9 |
|---|---|
| Citations per year | 0,9 |
| Citation span | 2016 - 2026 (11) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 9 |