News or Noise? The Missing Link

• 成果类型: Article
• 署名作者: Chahrour, Ryan; Jurado, Kyle
• 署名单位: Boston College; Duke University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20170792
• 发表日期: 2018
• 页码: 1702-1736
• 关键词: business cycles; demand shocks; fluctuations; INFORMATION; Sentiments

摘要

The literature on belief-driven business cycles treats news and noise as distinct representations of agents' beliefs. We prove they are empirically the same. Our result lets us isolate the importance of purely belief-driven fluctuations. Using three prominent estimated models, we show that existing research understates the importance of pure beliefs. We also explain how differences in both economic environment and information structure affect the estimated importance of pure beliefs.