Working Paper: NBER ID: w24875
Authors: Georgemarios Angeletos; Fabrice Collard; Harris Dellas
Abstract: We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mechanism that best describes the data, and use its properties to appraise models of both the parsimonious and the medium-scale variety. Our findings support the existence of a main business-cycle driver but rule out the following candidates for this role: technology or other shocks that map to TFP movements; news about future productivity; and inflationary demand shocks of the textbook type. Models aimed at accommodating demand-driven cycles without a strict reliance on nominal rigidity appear promising.
Keywords: business cycles; macroeconomic fluctuations; shock propagation mechanisms
JEL Codes: E00; E31; E32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| MBC shock (E71) | unemployment (J64) |
| MBC shock (E71) | investment (G31) |
| MBC shock (E71) | output (C67) |
| MBC shock (E71) | hours worked (J22) |
| MBC shock (E71) | inflation (E31) |
| MBC shock (E71) | TFP movements (O24) |