Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/318137 
Year of Publication: 
2015
Series/Report no.: 
BCAM Working Paper No. 1501
Publisher: 
Birkbeck, University of London, Birkbeck Centre for Applied Macroeconomics (BCAM), London
Abstract: 
We enrich a baseline RBC model with search and matching frictions on the labor 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 which 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 labor 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.
Subjects: 
Anticipated productivity shocks
Bayesian SVAR methods
labor market search frictions
JEL: 
E32
C32
C52
Document Type: 
Working Paper

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