Seminar
News-driven business scycles in small open economies
Economics
Speaker: | Christoph Thoenissen, University of Sheffield |
---|---|
Date: | Friday 3 October 2014 |
Time: | 16.15 - 17.45 |
Location: | Bateman Lecture Theatre, Building One |
Further details
The focus of this paper is on news-driven business cycles in small open economies.
We make two significant contributions. First, we develop a small open economy
model where the presence of financial frictions permits the replication of data con-
gruent co-movements in response to news shocks. Second, use VAR analysis to
identify news shocks using data on four advanced small open economies. We find,
in line with the previous VAR evidence for the US economy, that expected shocks
about the future Total Factor Productivity generate business cycle co-movements
in output, hours, consumption and investment. We also find that news shocks are
associated with countercyclical current account dynamics. Our findings are robust
across a number of alternative identification schemes.
A copy of the paper can be found here: www.dropbox.com/s/x6383ktgctn68ff/Thoenissen_exeter_seminar.pdf