Identifying Noise Shocks: A VAR with Data Revisions

We propose a new Vector Autoregression (VAR) identification strategy to study the impact of noise, in the early releases of output growth figures, which exploits the informational advantage of the econometrician. Economic agents, uncertain about the underlying state of the economy, respond to noisy...

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Bibliographic details
Volume: 51
Main Author: MASOLO, RICCARDO M
PACCAGNINI, ALESSIA
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: HOBOKEN WILEY 01.12.2019
Wiley Subscription Services, Inc
published in: Journal of money, credit and banking Vol. 51; no. 8; pp. 2145 - 2172
ORCID: 0000-0003-2999-6641
Data of publication: December 2019
ISSN: 0022-2879
1538-4616
EISSN: 1538-4616
Discipline: Economics
Business
Bibliography: The views and opinions expressed in this work are solely those of the authors and so cannot be taken to represent those of the Bank of England or of any of its policy committees. We are particularly grateful to Larry Christiano, Giorgio Primiceri, Roberto Motto, Efrem Castelnuovo, editor Pok‐sang Lam, and an anonymous referee. We also thank Kate Reinold, Federico Di Pace, Abi Haddow, Lena Boneva, Francesca Monti, Michele Piffer, Kostas Theodoridis, and Matt Waldron for their comments on the manuscript, and Rhys Mendes for allowing us to cite his work. We would also like to thank participants at the XXI International Conference on Money, Banking and Finance, the 2013 SNDE Symposium, the 2013 Congress of the European Economic Association, the 2013 Money Macro and Finance Conference, the 6th London Macroeconomic Workshop at LSE, Barcelona GSE Summer Forum and seminar participants at Maynooth University, Universitá degli Studi Federico II, and Univesitat Pompeu Fabra.
Subjects:
C10
VAR
C10
D8
VAR
E3
Online Access: Fulltext
Database: Social Sciences Citation Index
Web of Knowledge
Web of Science - Social Sciences Citation Index – 2019
Web of Science
CrossRef
Database information Databases - DBIS