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WHAT'S NEWS IN BUSINESS CYCLES

In the context of a dynamic, stochastic, general equilibrium model, we perform classical maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to business cycles in the postwar United States. Our identification approach relies on the fact that forward-looking agents r...

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Published in:	Econometrica 2012-11, Vol.80 (6), p.2733-2764
Main Authors:	Schmitt-Grohé, Stephanie, Uribe, Martín
Format:	Article
Language:	English
Subjects:	Anticipated shocks Applications Applied general equilibrium models Bayesian analysis Bayesian estimation Bayesian method Business cycles Business innovation Econometrics Economic fluctuations Economic models Economic theory Exact sciences and technology Government spending Insurance, economics, finance Mathematical analysis Mathematics Maximum likelihood estimation Parametric inference Partial differential equations Probability Probability and statistics Productivity Sciences and techniques of general use sources of aggregate fluctuations Standard deviation Statistical variance Statistics Steady state economies Stochastic models Studies U.S.A
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container_title	Econometrica
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creator	Schmitt-Grohé, Stephanie Uribe, Martín
description	In the context of a dynamic, stochastic, general equilibrium model, we perform classical maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to business cycles in the postwar United States. Our identification approach relies on the fact that forward-looking agents react to anticipated changes in exogenous fundamentals before such changes materialize. It further allows us to distinguish changes in fundamentals by their anticipation horizon. We find that anticipated shocks account for about half of predicted aggregate fluctuations in output, consumption, investment, and employment.
doi_str_mv	10.3982/ECTA8050
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source	EconLit s plnými texty; International Bibliography of the Social Sciences (IBSS); Wiley-Blackwell Read & Publish Collection; JSTOR
subjects	Anticipated shocks Applications Applied general equilibrium models Bayesian analysis Bayesian estimation Bayesian method Business cycles Business innovation Econometrics Economic fluctuations Economic models Economic theory Exact sciences and technology Government spending Insurance, economics, finance Mathematical analysis Mathematics Maximum likelihood estimation Parametric inference Partial differential equations Probability Probability and statistics Productivity Sciences and techniques of general use sources of aggregate fluctuations Standard deviation Statistical variance Statistics Steady state economies Stochastic models Studies U.S.A
title	WHAT'S NEWS IN BUSINESS CYCLES
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