TY - JOUR
T1 - News shocks and Japanese macroeconomic fluctuations
AU - Ko, Jun Hyung
AU - Miyazawa, Kensuke
AU - Vu, Tuan Khai
N1 - Funding Information:
The first author is obliged to Tsutomu Watanabe, Etsuro Shioji, Makoto Saito, and Naohito Abe. We are grateful for comments and suggestions to Richard A. Braun, Matthias Doepke, Takuji Fueki, Gary Hansen, Minchung Hsu, Selahattin Imrohoroglu, Masaru Inaba, Kengo Nutahara, and the seminar participants at 2009 International Conference of Economic Growth, Dynamics, and Policies, at Macro Lunch Seminar in Hitotsubashi University, and DSGE seminar at Senshu University. The first author is supported by the project entitled: Understanding Inflation Dynamics of the Japanese Economy, funded by JSPS Grant-in-Aid for Creative Scientific Research ( 18GS0101 ). The second author is supported by a grant obtained by the Nihon University Population Research Institute from the “Academic Frontier” Project for Private Universities : matching fund subsidy from MEXT (Ministry of Education, Culture, Sports, Science and Technology), 2006–2010.
Publisher Copyright:
© 2012 Elsevier B.V.
PY - 2012/12/1
Y1 - 2012/12/1
N2 - Are the changes in the future technology process, the so-called “news shocks,” the main contributors to the macroeconomic fluctuations in Japan over the past forty years? In this paper, we take two structural vector-auto-regression (SVAR) approaches to answer this question. First, we quantitatively evaluate the relative importance of news shocks among candidate shocks, estimating a structural vector-error–correction model (SVECM). Our estimated results suggest that the contribution of the TFP news shocks is nonnegligible, which is in line with the findings of previous works. Furthermore, we disentangle the source of news shocks by adopting several kinds of restrictions and find that news shocks on investment-specific technology (IST) also have an important effect. Second, to minimize the gap between the SVAR approach and the Bayesian estimation of a dynamic stochastic general equilibrium model, we adopt an alternative approach: SVAR with sign restrictions. The SVAR with sign restrictions reconfirms the results that the news shocks are important in explaining the Japanese macroeconomic fluctuations.
AB - Are the changes in the future technology process, the so-called “news shocks,” the main contributors to the macroeconomic fluctuations in Japan over the past forty years? In this paper, we take two structural vector-auto-regression (SVAR) approaches to answer this question. First, we quantitatively evaluate the relative importance of news shocks among candidate shocks, estimating a structural vector-error–correction model (SVECM). Our estimated results suggest that the contribution of the TFP news shocks is nonnegligible, which is in line with the findings of previous works. Furthermore, we disentangle the source of news shocks by adopting several kinds of restrictions and find that news shocks on investment-specific technology (IST) also have an important effect. Second, to minimize the gap between the SVAR approach and the Bayesian estimation of a dynamic stochastic general equilibrium model, we adopt an alternative approach: SVAR with sign restrictions. The SVAR with sign restrictions reconfirms the results that the news shocks are important in explaining the Japanese macroeconomic fluctuations.
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U2 - 10.1016/j.japwor.2012.05.004
DO - 10.1016/j.japwor.2012.05.004
M3 - Article
AN - SCOPUS:85040790603
SN - 0922-1425
VL - 24
SP - 292
EP - 304
JO - Japan and the World Economy
JF - Japan and the World Economy
IS - 4
ER -