Erschienen in:Paolo Baffi Centre Research Paper ; No. 2012-126
Umfang:
1 Online-Ressource (41 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2160736
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2012 erstellt
Beschreibung:
A structural, large dimensional factor model is used 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 VAR 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) a substantial fraction of business cycle uctuations are explained by shocks unrelated to technology