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ANTONIO GRANESE
Assegnista di ricerca
Dipartimento di Economia "Marco Biagi"
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Pubblicazioni
2024
- Two Main Business Cycle Shocks are Better than One
[Working paper]
Granese, A.
abstract
This paper challenges the claim of a recent authoritative study that identifies a single shock as the main driver of business cycle fluctuations. We argue that the VAR used in that study is informationally insufficient, i.e., it is unable to recover the true structural shock driving business cycle fluctuations. Using a large-dimensional Structural Dynamic Factor model, we present an alternative view of US business cycles, more in line with classical AD-AS theory. This underscores the multivariate nature of cycles and challenges the existence of a Main Business-Cycle shock.
2024
- Two Main Business Cycle Shocks are Better than One
[Working paper]
Granese, A.
abstract
This paper challenges the claim of a recent authoritative study that identifies a single shock as the main driver of business cycle fluctuations. We argue that the VAR used in that study is informationally insufficient, i.e., it is unable to recover the true structural shock driving business cycle fluctuations.
Using a large-dimensional Structural Dynamic Factor model, we present an alternative view of US business cycles, more in line with classical AD-AS theory. This underscores the multivariate nature of cycles and challenges the existence of a Main Business-Cycle shock.
2023
- AN AMERICAN MACROECONOMIC PICTURE. SUPPLY AND DEMAND SHOCKS IN THE FREQUENCY DOMAIN.
[Working paper]
Forni, Mario; Gambetti, Luca; Granese, Antonio; Sala, Luca; Soccorsi, Stefano
abstract
We provide a few new empirical facts that any theoretical model of the US macroeconomy should feature in order to be consistent with the data. 1) There are two classes of shocks: demand and supply. Supply shocks have long-run effects on economic activity, demand shocks do not. 2) Both supply and demand shocks are important sources of business cycles fluctuations. 3) Supply shocks are the primary driver for consumption fluctuations, demand shocks for investment. 4) The demand shock is closely related to the credit spread, while the supply shock is essentially a news technology shock. The results are obtained using a novel frequency domain method to identify demand and supply shock.