No News in Business Cycles

By M. Forni, Luca Gambetti, Luca Sala. 2014

127 citations recorded by the source corpus.

This paper uses a structural, large dimensional factor model to evaluate the role of ‘news’ shocks (shocks with a delayed eect on productivity) in generating the business cycle.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/2024730f422424ab2f8092b86cf87308eb3be9f9

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In Economics and Econometrics

Citations in the corpus

Government spending shocks in open economy VARs (2014, background): “The data set is the one of Forni et al., 2014, to which we refer for more detailed 6FEDGOV: BEA code B823RA3; GDP: BEA code A191RX1; CONS: BEA code DPCERX1; SUR: federal receipts, BEA code W018RC1, minus federal expenditures, BEA code W019RC1, over nominal GDP, BEA code A191RC1; NX: net exports of…”
Non-Stationary Dynamic Factor Models for Large Datasets (2016, methodology): “For example for the lag-window estimator used in Forni et al. (2015a) , under Assumptions 1, 4d-g, we have ρT = (BT logBTT), where BT is the window size.”
Bayesian inference on structural impulse response functions (2019, methodology): “12See Hansen and Sargent (1991), Sims and Zha (2006), Fernández-Villaverde, Rubio-Ramírez, Sargent, and Watson (2007), Forni, Giannone, Lippi, and Reichlin (2009), Leeper, Walker, and Yang (2013), Forni, Gambetti, and Sala (2014), and Lütkepohl (2014). 13See Alessi, Barigozzi, and Capasso (2011, Sec”