News, Noise, and Fluctuations: An Empirical Exploration

摘要

A common view of the business cycle gives a central role to anticipations. Consumers and firms continuously receive information about the future, which is sometimes news and sometimes just noise. Based on this information, consumers and firms choose spending and, because of nominal rigidities, spending affects output in the short run. If ex post the information turns out to be news, the economy adjusts gradually to a new level of activity. If it turns out to be just noise, the economy returns to its initial state. Therefore, the dynamics of news and noise generate both short-run and long-run changes in aggregate activity.