Replication data for: News, Noise, and Fluctuations: An Empirical Exploration
Principal Investigator(s): View help for Principal Investigator(s) Olivier J. Blanchard; Jean-Paul L'Huillier; Guido Lorenzoni
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| Replication-files-Sep-2013 | 10/11/2019 07:22:PM | ||
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text/plain | 14.6 KB | 10/11/2019 03:22:PM |
Project Citation:
Blanchard, Olivier J., L’Huillier, Jean-Paul, and Lorenzoni, Guido. Replication data for: News, Noise, and Fluctuations: An Empirical Exploration. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112690V1
Project Description
Summary:
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We explore empirically models of aggregate fluctuations in which consumers form
anticipations about the future based on noisy sources of information and these
anticipations affect output in the short run. Our objective is to separate fluctuations due to
changes in fundamentals (news) from those due to temporary errors in agents' estimates
(noise). We show that structural VARs cannot be used to identify news and noise shocks,
but identification is possible via a method of moments or maximum likelihood. Next, we
estimate our model on US data. Our results suggest that noise shocks explain a sizable
fraction of short-run consumption fluctuations.
Scope of Project
JEL Classification:
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D84 Expectations; Speculations
E13 General Aggregative Models: Neoclassical
E21 Macroeconomics: Consumption; Saving; Wealth
E32 Business Fluctuations; Cycles
D84 Expectations; Speculations
E13 General Aggregative Models: Neoclassical
E21 Macroeconomics: Consumption; Saving; Wealth
E32 Business Fluctuations; Cycles
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