Kamber, Güneş; Theodoridis, Konstantinos; Thoenissen, … - Department of Economics, University of Sheffield - 2014
The focus of this paper is on news-driven business cycles in small open economies. We make two significant … business cycle co-movements in response to news shocks. Second, we use VAR analysis to identify news shocks using data on four … advanced small open economies. We find that expected shocks about the future Total Factor Productivity generate business cycle …