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    News shocks and labor market dynamics in matching models

    Theodoridis, K. and Zanetti, F. (2015) News shocks and labor market dynamics in matching models. Working Paper. Birkbeck, University of London, London, UK.

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    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 uctuations at medium- and long-run horizons. Historically, news shocks have played a relevant role for output, but they have had a limited in uence on unemployment.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BCAM 1501; ISSN 1745-8587
    Keyword(s) / Subject(s): Anticipated productivity shocks, Bayesian SVAR methods, labor market search frictions.
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Administrator
    Date Deposited: 21 Mar 2019 16:18
    Last Modified: 12 Aug 2019 11:10
    URI: http://eprints.bbk.ac.uk/id/eprint/26634

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