G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9601
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
URLhttps://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.
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