Economia
Federal Reserve Bank of Dallas
Globalization and Monetary Policy Institute
Working Paper No. 98
http://www.dallasfed.org/institute/wpapers/2011/0098.pdf
Do Mood Swings Drive Business Cycles and is it Rational?*
Paul Beaudry
University of British Columbia
Deokwoo Nam
City University of Hong Kong
Jian Wang
Federal Reserve Bank of Dallas
December 2011
Abstract
This paper provides new evidence in support of the idea that bouts of optimism and pessimism drive much of US business cycles. In particular, we begin by using sign-restriction based identification schemes to isolate innovations in optimism or pessimism and we document the extent to which such episodes explain macroeconomic fluctuations. We then examine the link between these identified mood shocks and subsequent developments in fundamentals using alternative identification schemes (i.e., variants of the maximum forecast
error variance approach). We find that there is a very close link between the two, suggesting that agents' feelings of optimism and pessimism are at least partially rational as total factor productivity (TFP) is observed to rise 8-10 quarters after an initial bout of optimism. While this later finding is consistent with some previous findings in the news shock literature, we cannot rule out that such episodes reflect self-fulfilling beliefs. Overall, we argue that mood swings account for over 50% of business cycle fluctuations in hours and output.
Mais
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Dear Antony P Mueller: Your paper, "BEYOND KEYNES AND THE CLASSICS. OUTLINE OF THE GOODS SIDE/MONEY SIDE MODEL OF THE BUSINESS CYCLE AND MACROECONOMIC CONFIGURATIONS", was recently listed on SSRN's Top Ten download list for: ERN: Business...
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Nova artigo de pesquisa de Antony Mueller: Além de Keynes de dos Clássicos. Use google tradutor para tradução do inglês. Participe na discussão Beyond Keynes and the Classics. Outline of the Goods Side/Money Side Model of the Business...
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2012 International Monetary Fund WP/12/202 IMF Working Paper Research Department The Chicago Plan Revisited Prepared by Jaromir Benes and Michael Kumhof August 2012 Abstract At the height of the Great Depression a number of leading U.S. economists advanced...
- Política Monetária De Metas De Inflação
How Flexible Can Inflation Targeting Be and Still Work? Kenneth N. Kuttner and Adam S. Posen Abstract This paper takes up the issue of the flexibility of inflation targeting regimes, with the specific goal of determining whether the monetary policy...
- Política De Metas De Inflação
How Flexible Can Inflation Targeting Be and Still Work? Kenneth N. Kuttner and Adam S. Posen Abstract This paper takes up the issue of the flexibility of inflation targeting regimes, with the specific goal of determining whether the monetary policy...
Economia
Teoria psicológica da conjuntura
Federal Reserve Bank of Dallas
Globalization and Monetary Policy Institute
Working Paper No. 98
http://www.dallasfed.org/institute/wpapers/2011/0098.pdf
Do Mood Swings Drive Business Cycles and is it Rational?*
Paul Beaudry
University of British Columbia
Deokwoo Nam
City University of Hong Kong
Jian Wang
Federal Reserve Bank of Dallas
December 2011
Abstract
This paper provides new evidence in support of the idea that bouts of optimism and pessimism drive much of US business cycles. In particular, we begin by using sign-restriction based identification schemes to isolate innovations in optimism or pessimism and we document the extent to which such episodes explain macroeconomic fluctuations. We then examine the link between these identified mood shocks and subsequent developments in fundamentals using alternative identification schemes (i.e., variants of the maximum forecast
error variance approach). We find that there is a very close link between the two, suggesting that agents' feelings of optimism and pessimism are at least partially rational as total factor productivity (TFP) is observed to rise 8-10 quarters after an initial bout of optimism. While this later finding is consistent with some previous findings in the news shock literature, we cannot rule out that such episodes reflect self-fulfilling beliefs. Overall, we argue that mood swings account for over 50% of business cycle fluctuations in hours and output.
Mais
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- Top 10
Dear Antony P Mueller: Your paper, "BEYOND KEYNES AND THE CLASSICS. OUTLINE OF THE GOODS SIDE/MONEY SIDE MODEL OF THE BUSINESS CYCLE AND MACROECONOMIC CONFIGURATIONS", was recently listed on SSRN's Top Ten download list for: ERN: Business...
- Mais De 100 Downloads Já
Nova artigo de pesquisa de Antony Mueller: Além de Keynes de dos Clássicos. Use google tradutor para tradução do inglês. Participe na discussão Beyond Keynes and the Classics. Outline of the Goods Side/Money Side Model of the Business...
- Reforma Do Sistema Monetário
2012 International Monetary Fund WP/12/202 IMF Working Paper Research Department The Chicago Plan Revisited Prepared by Jaromir Benes and Michael Kumhof August 2012 Abstract At the height of the Great Depression a number of leading U.S. economists advanced...
- Política Monetária De Metas De Inflação
How Flexible Can Inflation Targeting Be and Still Work? Kenneth N. Kuttner and Adam S. Posen Abstract This paper takes up the issue of the flexibility of inflation targeting regimes, with the specific goal of determining whether the monetary policy...
- Política De Metas De Inflação
How Flexible Can Inflation Targeting Be and Still Work? Kenneth N. Kuttner and Adam S. Posen Abstract This paper takes up the issue of the flexibility of inflation targeting regimes, with the specific goal of determining whether the monetary policy...