Antonio Granese: Research
Antonio Granese: Research
An American Macroeconomic Picture: Demand and Supply shocks in the frequency domain (with Mario Forni, Luca Gambetti Luca Sala and Stefano Soccorsi) [AEJ:Macro]
American Economic Journal: Macroeconomics
Abstract: We provide a few new empirical facts that theoretical models should feature in order to be consistent with US data. 1) There are two classes of shocks: demand and supply. Supply shocks have long-run effects on economic activity, demand shocks do not. 2) Both supply and demand shocks are important sources of business cycles fluctuations. 3) Supply shocks are the primary driver for consumption fluctuations, demand shocks for investment. 4) 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 approach which combines frequency domain identification and Dynamic Factor Model analysis.
Two Main Business Cycle shocks are better than one (job market paper) [RECent WP] - Revised & Resubmit
Young Italian Economist Award 2024
Abstract: A recent influential study based on a Structural VAR with frequency-domain identification argues that most cyclical fluctuations in real activity are driven by a single shock. We revisit this view using a large-dimensional Dynamic Factor Model estimated on more than 100 U.S. macroeconomic series. Our data-rich approach uncovers two main shocks that jointly drive the business cycle: one transitory and demand-like, the other persistent and supply-like. This two-shock structure explains the bulk of both business-cycle and long-run fluctuations in key macroeconomic aggregates. The findings support a classical AD-AS interpretation and challenge the notion of a single dominant business-cycle shock.
Establishing the Obvious: Hysteresis only Emerges from Adverse Shocks (with Marco Brianti, Mario Forni and Luca Gambetti)Â