Noisy News in Business Cycles

Luca Gambetti

No 1406, 2014 Meeting Papers from Society for Economic Dynamics

Abstract: We investigate the role of ``noise'' shocks as a source of business cycle fluctuations. To do so we set up a simple model of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our approach is that identification is reached by means of dynamic rotations of the reduced form residuals. 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.

Date: 2014
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (60)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2014/paper_1406.pdf (application/pdf)

Related works:
Journal Article: Noisy News in Business Cycles (2017)
Working Paper: Noisy News in Business Cycles (2014)
Working Paper: Noisy News in Business Cycles (2014)
Working Paper: Noisy News in Business cycles (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed014:1406

Access Statistics for this paper

More papers in 2014 Meeting Papers from Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().