Does demand noise matter? Identification and implications

• 成果类型: Article
• 署名作者: Benhima, Kenza; Poilly, Celine
• 署名单位: University of Lausanne; Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite; Institut de Recherche pour le Developpement (IRD)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.01.006
• 发表日期: 2021
• 关键词: Business cycle; information friction; Noise shock; SVAR with sign restriction

摘要

We assess the role of demand noise (excessive optimism or pessimism about demand) together with supply noise (excessive optimism or pessimism about supply). To do so, we propose a methodology to decompose business cycles into supply, demand, supply noise and demand noise shocks, using a structural vector autoregression model. Key to our identification of both supply noise and demand noise is the use of sign restrictions on survey expectation errors about output growth and about inflation. We show that demand-related noise shocks have a negative effect on output and contribute substantially to its fluctuations. Monetary policy and private information seem to play a key role in the transmission of demand noise shocks. (C) 2020 Elsevier B.V. All rights reserved.