Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123415
Authors: 
Gubler, Matthias
Hertweck, Matthias S.
Year of Publication: 
2011
Series/Report no.: 
WWZ Discussion Paper 2011/05
Abstract: 
This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic fluctuations, second only to investment-specific technology shocks. In particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology shocks and monetary policy shocks seem less relevant at business cycle frequencies. The impulse response dynamics provide support for medium-scale DSGE models, but not for strong price rigidities.
Subjects: 
business cycles
commodity price shocks
structural VAR
JEL: 
C32
E32
E52
Q43
Document Type: 
Working Paper

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