Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77685
Authors: 
Görtz, Christoph
Tsoukalas, John D.
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4269
Abstract: 
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are broadly contractionary. Our results indicate a significant role of TFP news shocks as a predictive force behind fluctuations. Consumption sector TFP news shocks generate both aggregate and sectoral co-movement and account for approximately, 31%, 21%, 43%, 29% in the variance of output, investment, hours worked, and consumption respectively in business cycle frequencies. The financial channel provides amplification to TFP news. We discuss the relationship of our findings with VAR based estimates of TFP news shocks.
Subjects: 
news
business cycles
DSGE
Bayesian estimation
JEL: 
E20
E30
Document Type: 
Working Paper

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