Policy and Business Cycle Shocks : structural factor model representation of the US Economy
Forni, Mario (Università degli studi di Modena e Reggio Emilia)
Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica)

Data:	2021
Resum:	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.
Ajuts:	Ministerio de Ciencia e Innovación PGC2018-094364-B-I00 Ministerio de Ciencia e Innovación CEX2019-000915-S
Nota:	Altres ajuts: Ministro dell'Università e della Ricerca (PRIN 2017) (J44I20000180001)
Drets:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original.
Llengua:	Anglès
Document:	Article ; recerca ; Versió publicada
Matèria:	Demand ; Supply ; Fiscal policy ; Monetary policy ; Sign restrictions ; Structural factor model
Publicat a:	Journal of risk and financial management, Vol. 14 Núm. 8 (2021) , p. 371, ISSN 1911-8074

DOI: 10.3390/jrfm14080371

21 p, 809.7 KB

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