期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：This paper explores empirically the role of noisy information in cyclical developmentsand aims at separating uctuations that are due to genuine changes in fundamentals fromthose due to temporary animal spirits or expectational errors (noise shocks). Exploiting thefact that the econometrician has a richer data-set in some dimensions than the consumers,we use a novel identi cation scheme in a structural vector-autoregressive (SVAR) framework.Our results show that noise shocks are more important for business cycle uctuations thanpermanent (or technology) shocks. We also show that technology shocks turn negative a fewyears before recessions, while noise shocks are very positive at the cycle peaks. By contrast,the recovery from recessions is mostly led by technology shocks, noise shocks remainingnegative for some time during this business cycle phase.
关键词：Technology shocks; Noise shocks; Animal spirits; Business Cycles; Identi ca-;tion; Structural Vector Autoregression; Kalman Filter; Signal-extraction problem
