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Chahrour, Ryan and Ulbricht, Robert
(2017)
Information-driven Business Cycles: A Primal Approach.
TSE Working Paper, n. 17-784, Toulouse
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Abstract
We develop a methodology to characterize equilibrium in DSGE models, free of parametric restrictions on information. First, we define a “primal” economy in which deviations from full information are captured by wedges in agents' expectations. Then, we provide conditions ensuring some information-structure can implement these wedges. We apply the approach to estimate a business cycle model where firms and households have dispersed information. The estimated model fits the data, attributing the majority of fluctuations to a single shock to households' expectations. The responses are consistent with an implementation in which households become optimistic about local productivities and gradually learn about others' optimism.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | March 2017 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | Business cycles, dispersed information, DSGE models, primal approach, sentiments |
| JEL Classification: | D84 - Expectations; Speculations E32 - Business Fluctuations; Cycles |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 24 Mar 2017 13:44 |
| Last Modified: | 27 Oct 2021 13:36 |
| OAI Identifier: | oai:tse-fr.eu:31575 |
| URI: | https://publications.ut-capitole.fr/id/eprint/23262 |
