Business cycle measurement with some theory

By Fabio Canova, Matthias Paustian. 2011

202 citations recorded by the source corpus.

A method to evaluate cyclical models not requiring knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or contrast sub-models. The approach has good properties, even in small samples, and when the class of models is misspecified. The method is used to sort out the relevance of a certain friction (the presence of rule-of-thumb consumers) in a standard class of models.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/e1cb1690f4a6263cb14bde515eece3434a8511d6

Citations in the corpus

• Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound (2012, unknown): “Even though we are not genuinely interested in these three shocks given that our focus is on the pure spread shock, Canova and Paustian (2011) and Kilian and Murphy (2012) make the case that in order to pin down the shock of interest, all theoretically plausible restrictions ought to be imposed.”