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What's News in Business Cycles

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  • Schmitt-Grohé, Stephanie
  • Uribe, Martín
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    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.

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    Bibliographic Info

    Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8984.

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    Date of creation: May 2012
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    Handle: RePEc:cpr:ceprdp:8984

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    Related research

    Keywords: Anticipated Shocks; Bayesian Estimation.; Sources of Aggregate Fluctuations;

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