Antonio Granese

Progetto di ricerca
Essays on macroeconometrics

This Doctoral Thesis is a collection of empirical essays, with macroeconomic application. The first chapter is focused on an issue at the core of the modern empirical business cycle debate: determining the number and nature of the different sources of fluctuations affecting the macroeconomy. By building an ad hoc quarterly dataset, to properly disentangle the information in the common component of the main US macroeconomic aggregates from measurement error, we develop a strategy based on frequency domain techniques to identify structural shocks in the context of Dynamic Factor Model. First of all, by simultaneously maximizing the variance of different real activity variables over business-cycle frequencies (6-32 quarters), we show that two shocks are enough to capture not only the bulk of cyclical fluctuations of the main macroeconomic aggregates, but also the long run. Moreover, the two main cyclical shocks have a (well-defined) meaningful structural interpretation: the first is a transitory shock, while the second one is a permanent shock. Therefore, we provide empirical evidence on the insight found by imposing a completely novel Frequency domain Blanchard-Quah type of identification. We find that the US macroeconomy is driven by a transitory shock, partially disconnected from inflation, and a permanent shock, with the transitory explaining most of the cyclical fluctuations of real activity variables. Our permanent shock has sizable business cycle effects and is dominant for consumption. 

JEL classification: C32, C38, E32
Keywords: Frequency Domain, Structural Dynamic Factor Model, Business Cycle.