Kamber, G., Theodoridis, K. and Thoenissen, C. (2017) News-driven business cycles in small open economies. Journal of International Economics, 105. pp. 77-89. ISSN 0022-1996
Abstract
The focus of this paper is on news-driven business cycles in small open economies. We make two significant contributions. First, we develop a small open economy model where the presence of financial frictions permits the replication of business cycle co-movements in response to news shocks. Second, we use VAR analysis to identify news shocks using data on four advanced small open economies. We find that expected shocks about the future Total Factor Productivity generate business cycle co-movements in output, hours, consumption and investment. We also find that news shocks are associated with countercyclical current account dynamics. Our findings are robust across a number of alternative identification schemes.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). |
Keywords: | News shocks; business cycles; open economy macroeconomics; financial frictions; VAR |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 20 Dec 2016 15:10 |
Last Modified: | 07 Nov 2018 08:47 |
Published Version: | https://doi.org/10.1016/j.jinteco.2016.12.005 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.jinteco.2016.12.005 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:109752 |