Forni, Mario; Gambetti, Luca; Sala, Luca - Barcelona Graduate School of Economics (Barcelona GSE) - 2011
This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to...
