The Resource News, noise, and fluctuations : an empirical exploration, Olivier J. Blanchard, Jean-Paul L'Huillier [and] Guido Lorenzoni

News, noise, and fluctuations : an empirical exploration, Olivier J. Blanchard, Jean-Paul L'Huillier [and] Guido Lorenzoni

Label
News, noise, and fluctuations : an empirical exploration
Title
News, noise, and fluctuations
Title remainder
an empirical exploration
Statement of responsibility
Olivier J. Blanchard, Jean-Paul L'Huillier [and] Guido Lorenzoni
Creator
Contributor
Provider
Subject
Language
eng
Summary
We explore empirically models of aggregate fluctuations with two basic ingredients: agents form anticipations about the future based on noisy sources of information; these anticipations affect spending and output in the short run. our objective is to separate fluctuations due to actual changes in fundamentals (news) from those due to temporary errors in the private sector's estimates of these fundamentals (noise). Using a simple model where the consumption random walk hypothesis holds exactly, we address some basic methodological issues and take a first pass at the data. First, we show that if the econometrician has no informational advantage over the agents in the model, structural VARs cannot be used to identify news and noise shocks. Next, we develop a structural Maximum Likelihood approach which allows us to identify the model's parameters and to evaluate the role of news and noise shocks. Applied to postwar U.S. data, this approach suggests that noise shocks play an important role in short-run fluctuations. Keywords: Aggregate shocks, business cycles, vector autoregression, invertibility. JEL Classifications: E32, C32, D83
Member of
Cataloging source
MYG
http://library.link/vocab/creatorName
Blanchard, Olivier
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
  • technical reports
http://library.link/vocab/relatedWorkOrContributorName
  • Massachusetts Institute of Technology
  • Internet Archive
  • L'Huillier, Jean-Paul
  • Lorenzoni, Guido
Series statement
Working paper series / Massachusetts Institute of Technology, Dept. of Economics
Series volume
working paper 09-21
http://library.link/vocab/subjectName
  • Business cycles
  • Information theory in economics
  • Business cycles
  • Business cycles
  • Information theory in economics
  • United States
Label
News, noise, and fluctuations : an empirical exploration, Olivier J. Blanchard, Jean-Paul L'Huillier [and] Guido Lorenzoni
Instantiates
Publication
Note
"May 20, 2009."
Bibliography note
Includes bibliographical references (p. 39-40)
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Color
mixed
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Dimensions
28 cm.
Dimensions
unknown
Extent
40 pages
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
Specific material designation
remote
System control number
  • (OCoLC)678496959
  • (OCoLC)ocn678496959
Label
News, noise, and fluctuations : an empirical exploration, Olivier J. Blanchard, Jean-Paul L'Huillier [and] Guido Lorenzoni
Publication
Note
"May 20, 2009."
Bibliography note
Includes bibliographical references (p. 39-40)
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Color
mixed
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Dimensions
28 cm.
Dimensions
unknown
Extent
40 pages
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
Specific material designation
remote
System control number
  • (OCoLC)678496959
  • (OCoLC)ocn678496959

Library Locations

  • African Studies LibraryBorrow it
    771 Commonwealth Avenue, 6th Floor, Boston, MA, 02215, US
    42.350723 -71.108227
  • Alumni Medical LibraryBorrow it
    72 East Concord Street, Boston, MA, 02118, US
    42.336388 -71.072393
  • Astronomy LibraryBorrow it
    725 Commonwealth Avenue, 6th Floor, Boston, MA, 02445, US
    42.350259 -71.105717
  • Fineman and Pappas Law LibrariesBorrow it
    765 Commonwealth Avenue, Boston, MA, 02215, US
    42.350979 -71.107023
  • Frederick S. Pardee Management LibraryBorrow it
    595 Commonwealth Avenue, Boston, MA, 02215, US
    42.349626 -71.099547
  • Howard Gotlieb Archival Research CenterBorrow it
    771 Commonwealth Avenue, 5th Floor, Boston, MA, 02215, US
    42.350723 -71.108227
  • Mugar Memorial LibraryBorrow it
    771 Commonwealth Avenue, Boston, MA, 02215, US
    42.350723 -71.108227
  • Music LibraryBorrow it
    771 Commonwealth Avenue, 2nd Floor, Boston, MA, 02215, US
    42.350723 -71.108227
  • Pikering Educational Resources LibraryBorrow it
    2 Silber Way, Boston, MA, 02215, US
    42.349804 -71.101425
  • School of Theology LibraryBorrow it
    745 Commonwealth Avenue, 2nd Floor, Boston, MA, 02215, US
    42.350494 -71.107235
  • Science & Engineering LibraryBorrow it
    38 Cummington Mall, Boston, MA, 02215, US
    42.348472 -71.102257
  • Stone Science LibraryBorrow it
    675 Commonwealth Avenue, Boston, MA, 02445, US
    42.350103 -71.103784
Processing Feedback ...