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Replication data for: News, Noise, and Fluctuations: An Empirical Exploration

Resource Type
  • Blanchard, Olivier J.
  • L'Huillier, Jean-Paul
  • Lorenzoni, Guido
Publication Date
  • Abstract

    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.
  • Is supplement to
    DOI: 10.1257/aer.103.7.3045 (Text)
  • Blanchard, Olivier J, Jean-Paul L’Huillier, and Guido Lorenzoni. “News, Noise, and Fluctuations: An Empirical Exploration.” American Economic Review 103, no. 7 (December 2013): 3045–70.
    • ID: 10.1257/aer.103.7.3045 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Blanchard, Olivier J.; L'Huillier, Jean-Paul; Lorenzoni, Guido (2013): Replication data for: News, Noise, and Fluctuations: An Empirical Exploration. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.