What?s News in Business Cycles

Martín Uribe () and Schmitt-Grohé, Stephanie
Authors registered in the RePEc Author Service: Stephanie Schmitt-Grohe

No 7201, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In this paper, we perform a structural Bayesian estimation of the contribution of anticipated shocks to business cycles in the postwar United States. Our theoretical framework is a real-business-cycle model augmented with four real rigidities: investment adjustment costs, variable capacity utilization, habit formation in consumption, and habit formation in leisure. Business cycles are assumed to be driven by permanent and stationary neutral productivity shocks, permanent investment-specific shocks, and government spending shocks. Each of these driving forces is buffeted by four types of structural innovations: unanticipated innovations and innovations anticipated one, two, and three quarters in advance. We find that anticipated shocks account for more than two thirds of predicted aggregate fluctuations.

Keywords: Anticipated shocks; Bayesian estimation; Sources of aggregate fluctuations (search for similar items in EconPapers)
JEL-codes: C11 C51 E13 E32 (search for similar items in EconPapers)
Date: 2009-03
New Economics Papers: this item is included in nep-bec, nep-cba, nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Related works:
Journal Article: What's News in Business Cycles (2012)
Working Paper: What's News in Business Cycles (2012)
Working Paper: What's News in Business Cycles (2009)
Working Paper: What's News in Business Cycles (2008)
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