| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15015 |
| 来源ID | Working Paper 15015 |
| News, Noise, and Fluctuations: An Empirical Exploration | |
| Olivier J. Blanchard; Jean-Paul L'; Huillier; Guido Lorenzoni | |
| 发表日期 | 2009-05-28 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We explore empirically models of aggregate fluctuations with two basic ingredients: agents form anticipations about the future based on noisy sources of information; these anticipations affect spending and output in the short run. Our objective is to separate fluctuations due to actual changes in fundamentals (news) from those due to temporary errors in the private sector's estimates of these fundamentals (noise). Using a simple model where the consumption random walk hypothesis holds exactly, we address some basic methodological issues and take a first pass at the data. First, we show that if the econometrician has no informational advantage over the agents in the model, structural VARs cannot be used to identify news and noise shocks. Next, we develop a structural Maximum Likelihood approach which allows us to identify the model's parameters and to evaluate the role of news and noise shocks. Applied to postwar U.S. data, this approach suggests that noise shocks play an important role in short-run fluctuations. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w15015 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572691 |
| 推荐引用方式 GB/T 7714 | Olivier J. Blanchard,Jean-Paul L',Huillier,et al. News, Noise, and Fluctuations: An Empirical Exploration. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15015.pdf（281KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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