No news in business cycles

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Title:	No news in business cycles
Author:	Forni, Mario; Gambetti, Luca; Sala, Luca; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica; Institut d'Anàlisi Econòmica
Abstract:	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.
Subject(s):	-Cicles econòmics
Rights:	open access Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat, la unitat i l'institut i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús https://creativecommons.org/licenses/by-nc-nd/2.5/
Document type:	Working paper
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Uri:	https://ddd.uab.cat/record/71437