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...
MASOLO, RICCARDO M
|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|
|Data of publication:||December 2019|
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.
|Database:||Social Sciences Citation Index
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Web of Science - Social Sciences Citation Index – 2019
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