Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154209
Authors: 
D'Agostino, Antonello
Mendicino, Caterina
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1776
Abstract: 
This paper provides new insights into expectation-driven cycles by estimating a structural VAR with time-varying coefficients and stochastic volatility, as in Cogley and Sargent (2005) and Primiceri (2005). We use survey-based expectations of the unemployment rate to measure expectations of future developments in economic activity. We find that the effect of expectation shocks on the realized unemployment rate have been particularly large during the most recent recession. Unanticipated changes in expectations contributed to the gradual increase in the persistence of the unemployment rate and to the decline in the correlation between the inflation and the unemployment rate over time. Our results are robust to the introduction of financial variables in the model.
Subjects: 
economic fluctuations
Stochastic Volatility
survey expectations
time varying vector autoregression
JEL: 
C32
E24
E32
ISBN: 
978-92-899-1589-2
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.