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) [CEPR DP] - Forthcoming, American Economic Journal: Macroeconomics
American Economic Journal: Macroeconomics, Forthcoming Articles
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]- Under Review
Young Italian Economist Award 2024
Abstract: This paper revisits the conclusions of a recent influential study, which identifies a single shock as the main driver of business cycle fluctuations. We argue that the VAR used in that study is informationally deficient, that is, it is unable to recover the main shock driving cyclical fluctuations. Using a large-dimensional Structural Dynamic Factor model, we present an alternative view of U.S. business cycles, more in line with classical AD-AS theory. This underscores the multivariate nature of cycles and challenges the existence of a Main Business-Cycle shock.
Asymmetric transmission of demand shocks through the lens of a nonlinear structural dynamic factor model (with Marco Brianti, Mario Forni and Luca Gambetti)