Replication data for: Noisy News in Business Cycles
- Forni, Mario
- Gambetti, Luca
- Lippi, Marco
- Sala, Luca
AbstractWe 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.
Is supplement to
DOI: 10.1257/mac.20150359 (Text)
Forni, Mario, Luca Gambetti, Marco Lippi, and Luca Sala. “Noisy News in Business Cycles.” American Economic Journal: Macroeconomics 9, no. 4 (October 2017): 122–52. https://doi.org/10.1257/mac.20150359.
- ID: 10.1257/mac.20150359 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13