Home > Research > Publications & Outputs > An American Macroeconomic Picture

Research

Electronic data

  • FGGSS_AEJ_R1_16_02_24

    Accepted author manuscript, 3.84 MB, PDF document

    Available under license: CC BY: Creative Commons Attribution 4.0 International License

Links

View graph of relations

An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Forthcoming

Standard

An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain. / Forni, Mario; Gambetti, Luca; Granese, Antonio et al.
In: American Economic Journal: Macroeconomics, 08.10.2024.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Forni, M, Gambetti, L, Granese, A, Sala, L & Soccorsi, S 2024, 'An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain', American Economic Journal: Macroeconomics. <https://www.aeaweb.org/articles?id=10.1257/mac.20230295&&from=f>

APA

Forni, M., Gambetti, L., Granese, A., Sala, L., & Soccorsi, S. (in press). An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain. American Economic Journal: Macroeconomics. https://www.aeaweb.org/articles?id=10.1257/mac.20230295&&from=f

Vancouver

Forni M, Gambetti L, Granese A, Sala L, Soccorsi S. An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain. American Economic Journal: Macroeconomics. 2024 Oct 8.

Author

Forni, Mario ; Gambetti, Luca ; Granese, Antonio et al. / An American Macroeconomic Picture : Supply and Demand Shocks in the Frequency Domain. In: American Economic Journal: Macroeconomics. 2024.

Bibtex

@article{de9319ea8d734fc1b9a0ccaad7be86ad,
title = "An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain",
abstract = "We provide a few new empirical facts that theoretical models should feature in order to be consistent with US 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 shock. The results are obtained using a novel approach which combines frequency domain identification and Dynamic Factor Model analysis.",
author = "Mario Forni and Luca Gambetti and Antonio Granese and Luca Sala and Stefano Soccorsi",
year = "2024",
month = oct,
day = "8",
language = "English",
journal = "American Economic Journal: Macroeconomics",
issn = "1945-7707",
publisher = "American Economic Association",

}

RIS

TY - JOUR

T1 - An American Macroeconomic Picture

T2 - Supply and Demand Shocks in the Frequency Domain

AU - Forni, Mario

AU - Gambetti, Luca

AU - Granese, Antonio

AU - Sala, Luca

AU - Soccorsi, Stefano

PY - 2024/10/8

Y1 - 2024/10/8

N2 - We provide a few new empirical facts that theoretical models should feature in order to be consistent with US 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 shock. The results are obtained using a novel approach which combines frequency domain identification and Dynamic Factor Model analysis.

AB - We provide a few new empirical facts that theoretical models should feature in order to be consistent with US 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 shock. The results are obtained using a novel approach which combines frequency domain identification and Dynamic Factor Model analysis.

M3 - Journal article

JO - American Economic Journal: Macroeconomics

JF - American Economic Journal: Macroeconomics

SN - 1945-7707

ER -