Economics at your fingertips  

Noisy News in Business Cycles

Mario Forni (), Luca Gambetti, Marco Lippi () and Luca Sala

American Economic Journal: Macroeconomics, 2017, vol. 9, issue 4, 122-52

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 a sizable fraction of their prediction error variance at business cycle horizons.

JEL-codes: C32 D83 E12 E23 E32 E43 (search for similar items in EconPapers)
Date: 2017
Note: DOI: 10.1257/mac.20150359
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (application/pdf) ... ncOb8dR6vjmdRksE-W6C (application/zip) ... q8zom92iXmIvbdjRO5By (application/pdf) ... RzkZkFQ13rFD7QZpA7N6 (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
Working Paper: Noisy News in Business Cycles (2014) Downloads
Working Paper: Noisy News in Business Cycles (2014) Downloads
Working Paper: Noisy News in Business cycles (2013) Downloads
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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

American Economic Journal: Macroeconomics is currently edited by Simon Gilchrist

More articles in American Economic Journal: Macroeconomics from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().

Page updated 2019-06-21
Handle: RePEc:aea:aejmac:v:9:y:2017:i:4:p:122-52