Lubik, Thomas
[VerfasserIn]
;
Matthes, Christian
[Sonstige Person, Familie und Körperschaft];
Verona, Fabio
[Sonstige Person, Familie und Körperschaft]
Assessing U.S. Aggregate Fluctuations Across Time and Frequencies
Erschienen in:FRB Richmond Working Paper ; No. 19-6
Umfang:
1 Online-Ressource (45 p)
Sprache:
Englisch
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2019-02-28 erstellt
Beschreibung:
We study the behavior of key macroeconomic variables in the time and frequency domain. For this purpose, we decompose U.S. time series into various frequency components. This allows us to identify a set of stylized facts: GDP growth is largely a high-frequency phenomenon whereby inflation and nominal interest rates are characterized largely by low-frequency components. In contrast, unemployment is a medium-term phenomenon. We use these decompositions jointly in a structural VAR where we identify monetary policy shocks using a sign restriction approach. We find that monetary policy shocks affect these key variables in a broadly similar manner across all frequency bands. Finally, we assess the ability of standard DSGE models to replicate these findings. While the models generally capture low-frequency movements via stochastic trends and business-cycle fluctuations through various frictions, they fail at capturing the medium-term cycle