News or Noise? The Missing Link
Kyle Jurado and
Additional contact information
Kyle Jurado: Duke University
No 320, 2017 Meeting Papers from Society for Economic Dynamics
The literature on belief-driven business cycles treats news and noise as distinct representations of people’s beliefs. We prove they are empirically the same. Our result lets us isolate the importance of beliefs as an independent source of fluctuations. Using three prominent estimated models, we show that existing research understates this importance. Our result implies that structural vector autoregression analysis can be applied to models with either news or noise. We demonstrate this in U.S. data, and find that productivity accounts for 14% of consumption fluctuations, of which only a small portion is due to future shocks; the rest is noise.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
Journal Article: News or Noise? The Missing Link (2018)
Working Paper: News or Noise? The Missing Link (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:red:sed017:320
Access Statistics for this paper
More papers in 2017 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().