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metadata language: English

Replication data for: Noisy News in Business Cycles

Version
V0
Resource Type
Dataset
Creator
  • Forni, Mario
  • Gambetti, Luca
  • Lippi, Marco
  • Sala, Luca
Publication Date
2016-12-31
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20150359 (Text)
Publications
  • 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: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca (2016): Replication data for: Noisy News in Business Cycles. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114132