An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain
Mario Forni,
Luca Gambetti,
Antonio Granese,
Luca Sala and
Stefano Soccorsi
American Economic Journal: Macroeconomics, 2025, vol. 17, issue 3, 311-41
Abstract:
We provide a few new empirical facts that theoretical models should feature in order to be consistent with the data. (i) There are two classes of shocks: demand and supply. Supply shocks have long-run effects on economic activity; demand shocks do not. (ii) Both supply and demand shocks are important sources of business cycles' fluctuations. (iii) Supply shocks are the primary driver for consumption fluctuations, demand shocks for investment. (iv) The demand shock is closely related to the credit spread, while the supply shock is essentially a news shock. The results are obtained using a novel frequency domain method.
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2025
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Related works:
Working Paper: An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain (2024) 
Working Paper: An American Macroeconomic Picture. Supply and Demand Shocks in the Frequency Domain (2023) 
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DOI: 10.1257/mac.20230295
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