A Theory of Demand Shocks

• 成果类型: Article
• 署名作者: Lorenzoni, Guido
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.5.2050
• 发表日期: 2009
• 页码: 2050-2084
• 关键词: optimal monetary-policy; indicator variables; technology shocks; business-cycle; sticky prices; INFORMATION; expectations; fluctuations; EMPLOYMENT; forecasts

摘要

This paper presents a model of business cycles driven by shocks to consumer expectations regarding aggregate productivity. Agents are hit by heterogeneous productivity shocks, they observe their own productivity and a noisy public signal regarding aggregate productivity. The public signal gives rise to noise shocks, which have the features of aggregate demand shocks: they increase output, employment, and inflation in the short run and have no effects in the long run. Numerical examples suggest that the model can generate sizable amounts of noise-driven volatility.