Data and Code for: Pigouvian Cycles
Principal Investigator(s): View help for Principal Investigator(s) Renato Faccini, Danmarks Nationalbank; Leonardo Melosi, Federal Reserve Bank of Chicago
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| Data and Code for Pigouvian Cycles | 11/10/2020 04:43:PM |
Project Citation:
Faccini, Renato, and Melosi, Leonardo. Data and Code for: Pigouvian Cycles. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-03-25. https://doi.org/10.3886/E122062V1
Project Description
Summary:
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Current and expected unemployment rates contain information that is highly
useful to estimate the effect of news about TFP and to allow a general
equilibrium rational expectations model to generate Pigouvian cycles: a
large fraction of the comovement of output, consumption, investment,
employment, and real wages is explained by noise about TFP. These results
emerge because of the low frequency negative relationship between
unemployment and TFP growth. The model predicts that the start (end) of most
U.S. recessions is associated with agents realizing that previous
enthusiastic (lukewarm) expectations about future TFP would not be met.
Scope of Project
Subject Terms:
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identification of shocks;
TFP news;
noise shocks
JEL Classification:
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C11 Bayesian Analysis: General
C51 Model Construction and Estimation
E32 Business Fluctuations; Cycles
C11 Bayesian Analysis: General
C51 Model Construction and Estimation
E32 Business Fluctuations; Cycles
Geographic Coverage:
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USA
Time Period(s):
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4/1/1959 – 12/31/2016
Collection Date(s):
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11/1/2017 – 1/20/2020
Data Type(s):
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aggregate data
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