News shocks and labour market dynamics in matching models
We enrich a baseline real business cycle (RBC) model with search and matching frictions on the labour market and real frictions that are helpful in accounting for the response of macroeconomic aggregates to shocks. The analysis allows shocks to have an unanticipated and a news (i.e., anticipated) co...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Wiley
2016
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| _version_ | 1817930990618673152 |
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| author | Theodoridis, K Zanetti, F |
| author_facet | Theodoridis, K Zanetti, F |
| author_sort | Theodoridis, K |
| collection | OXFORD |
| description | We enrich a baseline real business cycle (RBC) model with search and matching frictions on the labour market and real frictions that are helpful in accounting for the response of macroeconomic aggregates to shocks. The analysis allows shocks to have an unanticipated and a news (i.e., anticipated) component. The Bayesian estimation of the model reveals that the model that includes news shocks on macroeconomic aggregates produces a remarkable fit of the data. News shocks in stationary and non-stationary TFP, investment-specific productivity and preference shocks significantly affect labour market variables and explain a sizeable fraction of macroeconomic fluctuations at medium- and long-run horizons. Historically, news shocks have played a relevant role for output, but they have had a limited influence on unemployment. |
| first_indexed | 2024-03-06T23:36:26Z |
| format | Journal article |
| id | oxford-uuid:6dd43b0e-af40-4ca0-b1ae-095527948804 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-12-09T03:14:54Z |
| publishDate | 2016 |
| publisher | Wiley |
| record_format | dspace |
| spelling | oxford-uuid:6dd43b0e-af40-4ca0-b1ae-0955279488042024-10-17T11:37:03ZNews shocks and labour market dynamics in matching modelsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:6dd43b0e-af40-4ca0-b1ae-095527948804EnglishORA DepositWiley2016Theodoridis, KZanetti, FWe enrich a baseline real business cycle (RBC) model with search and matching frictions on the labour market and real frictions that are helpful in accounting for the response of macroeconomic aggregates to shocks. The analysis allows shocks to have an unanticipated and a news (i.e., anticipated) component. The Bayesian estimation of the model reveals that the model that includes news shocks on macroeconomic aggregates produces a remarkable fit of the data. News shocks in stationary and non-stationary TFP, investment-specific productivity and preference shocks significantly affect labour market variables and explain a sizeable fraction of macroeconomic fluctuations at medium- and long-run horizons. Historically, news shocks have played a relevant role for output, but they have had a limited influence on unemployment. |
| spellingShingle | Theodoridis, K Zanetti, F News shocks and labour market dynamics in matching models |
| title | News shocks and labour market dynamics in matching models |
| title_full | News shocks and labour market dynamics in matching models |
| title_fullStr | News shocks and labour market dynamics in matching models |
| title_full_unstemmed | News shocks and labour market dynamics in matching models |
| title_short | News shocks and labour market dynamics in matching models |
| title_sort | news shocks and labour market dynamics in matching models |
| work_keys_str_mv | AT theodoridisk newsshocksandlabourmarketdynamicsinmatchingmodels AT zanettif newsshocksandlabourmarketdynamicsinmatchingmodels |