EconPapers    
Economics at your fingertips  
 

Identifying Noise Shocks: a VAR with Data Revisions

Riccardo M. Masolo and Alessia Paccagnini

No 1510, Discussion Papers from Centre for Macroeconomics (CFM)

Abstract: We propose a new VAR identification strategy to study the impact of noise shocks on aggregate activity. We do so exploiting the informational advantage the econometrician has, relative to the economic agent. The latter, who is uncertain about the underlying state of the economy, responds to the noisy early data releases. The former, with the benefit of hindsight, has access to data revisions as well, which can be used to identify noise shocks. By using a VAR we can avoid making very specific assumptions on the process driving data revisions. We rather remain agnostic about it but make our identification strategy robust to whether data revisions are driven by noise or news. Our analysis shows that a surprising report of output growth numbers delivers a persistent and hump-shaped response of real output and unemployment. The responses are qualitatively similar but an order of magnitude smaller than those to a demand shock. Finally, our counterfactual analysis supports the view that it would not be possible to identify noise shocks unless different vintages of data are used.

Keywords: Noise Shocks; Data Revisions; VAR; Impulse-Response Functions (search for similar items in EconPapers)
JEL-codes: E3 C1 D8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: 2015-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.centreformacroeconomics.ac.uk/Discussio ... MDP2015-10-Paper.pdf (application/pdf)

Related works:
Journal Article: Identifying Noise Shocks: A VAR with Data Revisions (2019) Downloads
Working Paper: Identifying noise shocks: a VAR with data revisions (2015) 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: https://EconPapers.repec.org/RePEc:cfm:wpaper:1510

Access Statistics for this paper

More papers in Discussion Papers from Centre for Macroeconomics (CFM) Contact information at EDIRC.
Bibliographic data for series maintained by Martin Hannon ().

 
Page updated 2019-12-13
Handle: RePEc:cfm:wpaper:1510