Noisy News in Business Cycles

• 成果类型: Article
• 署名作者: Forinirni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca
• 署名单位: Autonomous University of Barcelona; Universita di Modena e Reggio Emilia; Universita di Modena e Reggio Emilia; Bocconi University; Bocconi University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20150359
• 发表日期: 2017
• 页码: 122-152
• 关键词: information; demand; prices; POLICY

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.