What’s news in business cycles. (English) Zbl 1274.91324
Summary: 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.
MSC:
91B64 | Macroeconomic theory (monetary models, models of taxation) |
91B51 | Dynamic stochastic general equilibrium theory |
62P20 | Applications of statistics to economics |
62F10 | Point estimation |
62F15 | Bayesian inference |