Replication data for: Noisy News in Business Cycles

Principal Investigator(s): View help for Principal Investigator(s) Mario Forni; Luca Gambetti; Marco Lippi; Luca Sala

Version: View help for Version V1

Name	File Type	Size	Last Modified
DSGE			10/12/2019 08:09:PM
kilian_bootstrap			10/12/2019 08:09:PM
ComputeIrfOneShock.m	text/plain	456 bytes	10/12/2019 04:09:PM
DoFiguresBC_luca2_rev.m	text/plain	8.6 KB	10/12/2019 04:08:PM
DoFiguresBC_luca2_rev2.m	text/plain	7.6 KB	10/12/2019 04:08:PM
FAVARCholBoot.m	text/plain	466 bytes	10/12/2019 04:09:PM
FAVARCholBootMax.m	text/plain	670 bytes	10/12/2019 04:09:PM
FAVARCholIdent.m	text/x-fortran	267 bytes	10/12/2019 04:09:PM
FAVARCholImp.m	text/plain	146 bytes	10/12/2019 04:09:PM
FAVARNewsImp.m	text/plain	690 bytes	10/12/2019 04:09:PM

Project Citation:

Forni, Mario, Gambetti, Luca, Lippi, Marco, and Sala, Luca. Replication data for: Noisy News in Business Cycles. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114132V1

Project Description

Summary: 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.

Scope of Project

JEL Classification:
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
      E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
      E23 Macroeconomics: Production
      E32 Business Fluctuations; Cycles
      E43 Interest Rates: Determination, Term Structure, and Effects

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Published Versions

V1 [2019-10-12]

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