Noisy News in Business Cycles
研究了噪音冲击作为商业周期波动来源的作用，通过构建不完全信息模型并在VAR中识别噪音冲击，发现噪音冲击能解释GDP、消费和投资预测误差方差的相当大一部分。
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.