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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Administrator |
| Date Deposited: | 21 Mar 2019 16:18 |
| Last Modified: | 02 Aug 2023 17:49 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26634 |
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