News Shocks and Labor Market Dynamics in Matching Models

Konstantinos Theodoridis and Francesco Zanetti

No 1501, BCAM Working Papers from Birkbeck Centre for Applied Macroeconomics

Abstract: We enrich a baseline RBC model with search and matching frictions on the labor market and real frictions that are helpful in accounting for the response of macroeconomic aggregates to shocks. The analysis allows shocks to have an unanticipated and a news (i.e. anticipated) component. The Bayesian estimation of the model reveals that the model which includes news shocks on macroeconomic aggregates produces a remarkable fit of the data. News shocks in stationary and non-stationary TFP, investment-specific productivity and preference shocks significantly affect labor market variables and explain a sizeable fraction of macroeconomic fluctuations at medium- and long-run horizons. Historically, news shocks have played a relevant role for output, but they have had a limited influence on unemployment.

Keywords: Anticipated productivity shocks; Bayesian SVAR methods; labor market search frictions. (search for similar items in EconPapers)
JEL-codes: C32 C52 E32 (search for similar items in EconPapers)
Date: 2015-04
New Economics Papers: this item is included in nep-dge and nep-mac
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Citations: View citations in EconPapers (1)

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https://eprints.bbk.ac.uk/26634/1/26634.pdf First version, 2015 (application/pdf)

Related works:
Journal Article: News shocks and labour market dynamics in matching models (2016)
Journal Article: News shocks and labour market dynamics in matching models (2016)
Working Paper: News Shocks and Labor Market Dynamics in Matching Models (2015)
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