Replication data for: Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence

Principal Investigator(s):  View help for Principal Investigator(s) Robert B. Barsky; Eric R. Sims

Version:  View help for Version V1

Name File Type Size Last Modified
._simple_filter_final.m application/octet-stream 4 KB 10/11/2019 01:34:PM
IRFVAR.m text/plain 223 bytes 10/11/2019 01:34:PM
aer_final.wf1 application/octet-stream 35.6 KB 10/11/2019 01:34:PM
animal_kalman.m text/plain 137 bytes 10/11/2019 01:34:PM
animalspirits_max.m text/x-fortran 18 KB 10/11/2019 01:34:PM
boot_firststage.m text/plain 842 bytes 10/11/2019 01:34:PM
boot_second.m text/plain 1.1 KB 10/11/2019 01:34:PM
data.txt text/plain 13.7 KB 10/11/2019 01:34:PM
data2.txt text/plain 5.7 KB 10/11/2019 01:34:PM
five_est_animal_final.m text/plain 29.6 KB 10/11/2019 01:34:PM

Project Description

Summary:  View help for Summary Innovations to consumer confidence convey incremental information about economic activity far into the future. Does this reflect a causal effect of animal spirits on economic activity, or news about exogenous future productivity received by consumers? Using indirect inference, we study the impulse responses to confidence innovations in conjunction with an appropriately augmented New Keynesian model. While news, animal spirits, and pure noise all contribute to confidence innovations, the relationship between confidence and subsequent activity is almost entirely reflective of the news component. Confidence innovations are well characterized as noisy measures of changes in expected productivity growth over a relatively long horizon. (JEL D12, D83, D84, E12)

Scope of Project

JEL Classification:  View help for JEL Classification
      D12 Consumer Economics: Empirical Analysis
      D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
      D84 Expectations; Speculations
      E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory


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Published Versions

V1 [2019-10-11]

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DDI 2.5

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