Ambiguous Business Cycles

• 成果类型: Article
• 署名作者: Ilut, Cosmin L.; Schneider, Martin
• 署名单位: Duke University; Stanford University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.8.2368
• 发表日期: 2014
• 页码: 2368-2399
• 关键词: news; models; RISK; fluctuations; INFORMATION; volatility; utility; prices; POLICY

摘要

This paper studies a New Keynesian business cycle model with agents who are averse to ambiguity (Knightian uncertainty). Shocks to confidence about future TFP are modeled as changes in ambiguity. To assess the size of those shocks, our estimation uses not only data on standard macro variables, but also incorporates the dispersion of survey forecasts about growth as a measure of confidence. Our main result is that TFP and confidence shocks together can explain roughly two thirds of business cycle frequency movements in the major macro aggregates. Confidence shocks account for about 70 percent of this variation.