Replication data for: Noisy News in Business Cycles

Luca Sala, Mario Forni, Marco Lippi & Luca Gambetti
We investigate the role of \"noise\" shocks as a source of business cycle fluctuations. To do so we set up a simple model of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our approach is that identification is reached by means of dynamic rotations of the reduced-form residuals. We find that noise shocks generate hump-shaped responses of GDP, consumption and investment, and account for a sizable...
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