| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22225 |
| 来源ID | Working Paper 22225 |
| Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data | |
| Anmol Bhandari; Jaroslav Borovička; Paul Ho | |
| 发表日期 | 2016-05-09 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We develop a framework to analyze economies with agents facing time-varying concerns for model misspecification. These concerns lead agents to interpret economic outcomes and make decisions through the lens of a pessimistically biased 'worst-case' model. We combine survey data and implied theoretical restrictions on the relative magnitudes and comovement of forecast biases across macroeconomic variables to identify ambiguity shocks as exogenous fluctuations in the worst-case model. Our solution method delivers tractable linear approximations that preserve the effects of time-varying ambiguity concerns and permit estimation using standard Bayesian techniques. Applying our framework to an estimated New-Keynesian business cycle model with frictional labor markets, we find that ambiguity shocks explain a substantial portion of the variation in labor market quantities. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Mathematical Tools ; Economics of Information ; Macroeconomics ; Consumption and Investment ; Business Cycles |
| URL | https://www.nber.org/papers/w22225 |
| 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/579899 |
| 推荐引用方式 GB/T 7714 | Anmol Bhandari,Jaroslav Borovička,Paul Ho. Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data. 2016. |
| 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 | ||
| w22225.pdf（514KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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