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

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Data and Code for: Pigouvian Cycles		0

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: 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: identification of shocks; TFP news; noise shocks

JEL Classification:
      C11 Bayesian Analysis: General
      C51 Model Construction and Estimation
      E32 Business Fluctuations; Cycles

Geographic Coverage: USA

Data Type(s): aggregate data

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V1 [2022-03-25]

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