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What's News in Business Cycles

Stephanie Schmitt-Grohe () and Martín Uribe ()

No 8984, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

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)
New Economics Papers: this item is included in nep-bec and nep-dge
Date: 2012-05
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Related works:
Journal Article: What's News in Business Cycles (2012) Downloads
Working Paper: What’s News in Business Cycles (2009) Downloads
Working Paper: What's News in Business Cycles (2009)
Working Paper: What's News in Business Cycles (2008) Downloads
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