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

Name	File Type	Size	Last Modified
Replication-files-Sep-2013			10/11/2019 07:22:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 03:22:PM

Project Citation:

Blanchard, Olivier J., L’Huillier, Jean-Paul, and Lorenzoni, Guido. Replication data for: News, Noise, and Fluctuations: An Empirical Exploration. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112690V1

Project Description

Summary: 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.

Scope of Project

JEL Classification:
      D84 Expectations; Speculations
      E13 General Aggregative Models: Neoclassical
      E21 Macroeconomics: Consumption; Saving; Wealth
      E32 Business Fluctuations; Cycles

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Published Versions

V1 [2019-10-11]

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