2024-03-28T23:07:25Zhttp://digital.csic.es/dspace-oai/requestoai:digital.csic.es:10261/355282016-02-16T04:59:15Zcom_10261_58com_10261_7col_10261_689
Forni, Mario
Gambetti, Luca
Sala, Luca
2011-05-11T10:37:23Z
2011-05-11T10:37:23Z
2011-02-21
UFAE and IAE Working Papers ; 862.11.
http://hdl.handle.net/10261/35528
This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explaining the business cycle; (iii) their effects are in line with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations are explained by shocks unrelated to technology
eng
openAccess
Structural factor model
News shocks
Invertibility
Fundamentalness
No News in Business Cycles
documento de trabajo