News shocks and the Japanese macroeconomic fluctuations

What is the driving force of the macroeconomic fluctuations in Japan over the past forty years? To answer this question, we specify a structural vectorerror-correction model using combination of long-run and short-run restrictions. Especially by dividing the supply shocks such as neutral and investment-specific technology into surprise part and anticipated part, we search for the importance of so-called "news shock". Our main finding is that the news shocks of the anticipated investment-specific as well as neutral technology are the major component that drives Japanese economic movements: The surprise technology shocks play a minor but non-negligible role in the variances of output and consumption. The demand shocks explain most of the movements in consumption. The surprise investment-specific technology shocks seem not to be important in explaining macro fluctuations