News shocks and Japanese macroeconomic fluctuations

Jun Hyung Ko, Kensuke Miyazawa, Tuan Khai Vu

研究成果: ジャーナルへの寄稿記事

1 引用 (Scopus)

抄録

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.

元の言語英語
ページ(範囲)292-304
ページ数13
ジャーナルJapan and the World Economy
24
発行部数4
DOI
出版物ステータス出版済み - 12 1 2012

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macroeconomics
fluctuation
news
regression
equilibrium model
News shocks
Macroeconomic fluctuations
candidacy
Japan
Structural vector autoregression
Sign restrictions

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

これを引用

News shocks and Japanese macroeconomic fluctuations. / Ko, Jun Hyung; Miyazawa, Kensuke; Vu, Tuan Khai.

:: Japan and the World Economy, 巻 24, 番号 4, 01.12.2012, p. 292-304.

研究成果: ジャーナルへの寄稿記事

Ko, Jun Hyung ; Miyazawa, Kensuke ; Vu, Tuan Khai. / News shocks and Japanese macroeconomic fluctuations. :: Japan and the World Economy. 2012 ; 巻 24, 番号 4. pp. 292-304.
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