News, Noise, and Fluctuations: An Empirical Exploration
用美国数据实证分离了影响经济波动的“新闻”（基本面变化）和“噪音”（暂时性估计误差），发现噪音冲击解释了短期消费波动的相当一部分。
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.