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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP9601 |
DP9601 Noisy News in Business cycles | |
Marco Lippi; Mario Forni; Luca Sala; Luca Gambetti | |
发表日期 | 2013-08-18 |
出版年 | 2013 |
语种 | 英语 |
摘要 | In a situation where agents can only observe a noisy signal of the shock to future economic fundamentals, SVAR models can still be successfully employed to estimate the shock and the associated impulse response functions. Identification is reached by means of dynamic rotations of the reduced form residuals. We use our identification approach to investigate the role of the "noise" shock the component of the signal observed by agents which is unrelated to economic fundamentals as a source of business cycle fluctuations. We find that noise shocks generate hump-shaped responses of GDP, consumption and investment and account for about a third of their prediction error variance at business cycle horizons. |
主题 | International Macroeconomics |
关键词 | Business cycle Imperfect information News Noise Nonfundamentalness Svar |
URL | https://cepr.org/publications/dp9601 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538437 |
推荐引用方式 GB/T 7714 | Marco Lippi,Mario Forni,Luca Sala,et al. DP9601 Noisy News in Business cycles. 2013. |
条目包含的文件 | 条目无相关文件。 |
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