News Driven Business Cycles and data on asset prices in estimated DSGE models

被引：8
|
作者：
Avdjiev, Stefan [1 ]
机构：
[1] Bank Int Settlements, Monetary & Econ Dept, Cent Bahnpl 2, CH-4002 Basel, Switzerland
来源：
REVIEW OF ECONOMIC DYNAMICS | 2016年 / 20卷
关键词：
News Driven Business Cycles; Asset prices; Estimated DSGE models; Bayesian MCMC methods; LONG-RUN; STOCK RETURNS; REAL ACTIVITY; FLUCTUATIONS; EXPECTATIONS; CONSUMPTION; RISKS;
D O I：
10.1016/j.red.2015.01.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We demonstrate that inference from estimated structural News Driven Business Cycle (NDBC) models about the main drivers of fluctuations in macroeconomic variables and asset prices is sensitive to assumptions about the structure of the news shock processes. We show that, when data on asset prices are used in the estimation, a long-run news shock specification has a better fit than the short-run news shock specification which is prevalent the existing literature. The variance decompositions from the former model specification reveal that long-run news shocks are not the main drivers of macroeconomic variables, but do account for the majority of aggregate stock market fluctuations. (C) 2015 Elsevier Inc. All rights reserved.
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页码：181 / 197
页数：17
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