406 research outputs found
Policy matters. The Long Run E®ects of Aggregate Demand and Mark Up Shocks on the Italian Unemployment Rate
Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy
We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign restrictions, two policy shocks, monetary and fiscal, and two non-policy shocks, demand and supply. We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Monetary and fiscal policy shocks have sizable effects on output and prices, with no evidence of crowding-out of private aggregate demand components; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large long-run positive effect on productivity, consistently with the Schumpeterian "cleansing" view of recessions
Sufficient Information in Structural VARs
We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. contains enough information to estimate the structural shocks with a VAR
model. Based on such conditions, we provide a procedure to test for informational sufficiency.
If sufficiency is rejected, we propose a strategy to amend the VAR. Our method can be applied
to FAVAR models and can be used to determine how many factors to include in such models.
We apply our procedure to a VAR including TFP, unemployment and per-capita hours worked.
We find that the three variables are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically
Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US
macroeconomic series. We find that (i) the US economy is well described by a number of structural
shocks between two and six. Focusing on the four-shock specification, we identify, using sign restrictions, two non-policy shocks, demand and supply, and two policy shocks, monetary and fiscal.
We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Policy
matters: Both monetary and fiscal policy shocks have sizeable effects on output and prices, with
little evidence of crowding out; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large
long-run positive effect on productivity, consistently with the Schumpeterian “cleansing” view of
recessions
Macroeconomic Uncertainty and Vector Autoregressions
We estimate macroeconomic uncertainty and the effects of uncertainty shocks by
means of a new procedure based on standard VARs. Under suitable assumptions,
our procedure is equivalent to using the square of the VAR forecast error as an external instrument in a proxy SVAR. We add orthogonality constraints to the standard
proxy SVAR identification scheme. We also derive a VAR-based measure of uncertainty. We apply our method to a US data set; we find that uncertainty is mainly
exogenous and is responsible of a large fraction of business-cycle fluctuations
Experimental diabetic neuropathy: impairment of slow transport with changes in axon cross-sectional area.
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