蝌蚪网 Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain
蝌蚪网 Journal: Macroeconomics
vol. 17,
no. 3, July 2025
(pp. 311–41)
Abstract
We provide a few new empirical facts that theoretical models should feature in order to be consistent with the data. (i) There are two classes of shocks: demand and supply. Supply shocks have long-run effects on economic activity; demand shocks do not. (ii) Both supply and demand shocks are important sources of business cycles' fluctuations. (iii) Supply shocks are the primary driver for consumption fluctuations, demand shocks for investment. (iv) 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 frequency domain method.Citation
Forni, Mario, Luca Gambetti, Antonio Granese, Luca Sala, and Stefano Soccorsi. 2025. "An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain." 蝌蚪网 Journal: Macroeconomics 17 (3): 311–41. DOI: 10.1257/mac.20230295Additional Materials
JEL Classification
- C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 Business Fluctuations; Cycles