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Identifier to cite or link to this item: https://hdl.handle.net/10086/23056

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Title	News shocks and Japanese macroeconomic fluctuations
Creator	Creator Name Ko, Jun-Hyung Ko, Jun-Hyung Affiliation Affiliation Name University of Tokyo
	Creator Name Miyazawa, Kensuke Miyazawa, Kensuke Affiliation Affiliation Name Kyushu University
	Creator Name Tuan, Khai Vu Tuan, Khai Vu Affiliation Affiliation Name Seikei University
Editor	Contributor Name 日本経済の物価変動ダイナミクスの解明 = Understanding Inflation Dynamics of the Japanese Economy
Key Word	TFP
	Investment-specific Technology
	News shock
	VECM
	Sign restriction
JEL	E32
Abstract	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 vectorerror- 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.
Description	This version: May 25, 2012
Publisher	Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University
Issued Date	2012-05
Language	English(eng)
Resource Type	technical report
Version Type	VoR
Is Part OfRelation -	Related Title Working Paper Series ; No. 58
ReplacesRelation -	Related Identifier HDL http://hdl.handle.net/10086/18592
Relation	Related Title This is a revised version of http://hdl.handle.net/10086/18592
Relation	Related Identifier URI http://www.ier.hit-u.ac.jp/~ifd/
Number of Pages	34
Sponsorship	日本経済の物価変動ダイナミクスの解明 = Understanding Inflation Dynamics of the Japanese Economy
Appears in Collections	Working Paper Series / Understanding Inflation Dynamics of the Japanese Economy
URL	https://hdl.handle.net/10086/23056