Identifying Noise Shocks: A VAR with Data Revisions
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|Title:||Identifying Noise Shocks: A VAR with Data Revisions||Authors:||Masolo, Riccardo Maria; Paccagnini, Alessia||Permanent link:||http://hdl.handle.net/10197/10644||Date:||26-Nov-2018||Online since:||2019-05-23T12:40:21Z||Abstract:||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 early data releases. Econometricians, with the benefit of hindsight, have access to data revisions as well, which we use to identify noise shocks. A surprising report of output growth produces qualitatively similar but quantitatively smaller effects than a demand shock. We also illustrate how a noise shock cannot be identified unless ex‐post information is used.||Type of material:||Journal Article||Publisher:||Wiley||Journal:||Journal of Money, Credit and Banking||Copyright (published version):||2018 Bank of England, Journal of Money, Credit and Banking and Ohio State University||Keywords:||Noise shocks; Data revisions; VAR; Impulse-response functions||DOI:||10.1111/jmcb.12585||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Business Research Collection|
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