Noisy News in Business Cycles

被引：38

作者：

Forinirni, Mario ^{[2
,3
]}

Gambetti, Luca ^{[1
]}

Lippi, Marco ^{[4
]}

Sala, Luca ^{[5
,6
]}

机构：

[1] Univ Autonoma Barcelona, Dept Econ & Hist Econ, Off B3 1170,Edifici B, Bellaterra 08193, Barcelona, Spain

[2] Univ Modena & Reggio Emilia, Dipartimen Econ Marco Biagi, CEPR, Via Berengario 51, I-41121 Modena, Italy

[3] Univ Modena & Reggio Emilia, RECent, Via Berengario 51, I-41121 Modena, Italy

[4] Einaudi Inst Econ & Finance, Via Sallustiana 62, I-00187 Rome, Italy

[5] Univ Bocconi, ICIER, Dipartimen Econ Ettore Bocconi, Via Roentgen 1, I-20136 Milan, Italy

[6] Univ Bocconi, Baffi Ctr, Via Roentgen 1, I-20136 Milan, Italy

来源：

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS | 2017年 / 9卷 / 04期

关键词：

INFORMATION; DEMAND; PRICES; POLICY;

D O I：

10.1257/mac.20150359

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the role of "noise" shocks as a source of business cycle fluctuations. To do so we set up a simple model of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our approach is that identification is reached by means of dynamic rotations of the reduced-form residuals. We find that noise shocks generate hump-shaped responses of GDP, consumption and investment, and account for a sizable fraction of their prediction error variance at business cycle horizons.

引用

页码：122 / 152

页数：31

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