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40 p, 680.5 KB Noise bubbles / Forni, Mario (Università degli studi di Modena e Reggio Emilia) ; Lippi, Marco (Università di Roma) ; Gambetti, Luca (Universitat Autonoma de Barcelona) ; Sala, Luca (Università commerciale Luigi Bocconi)
We introduce noisy information in the determination of stock prices. Agents receive a noisy signal about the structural shock driving future dividend variations. The resulting equilibrium stock price includes a transitory component { the \noise bubble" { which can be responsible for boom and bust episodes unrelated to economic fundamentals. [...]
2017 - 10.1111/ecoj.12386
Economic journal, Vol. 127 Núm. 604 (2017) , p. 1940-1976  
30 p, 381.5 KB No news in business cycles / Forni, Mario (Università di Modena e Reggio Emilia) ; Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica) ; Sala, Luca (Università Bocconi) ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Institut d'Anàlisi Econòmica
This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explaining the business cycle; (iii) their effects are in line with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations are explained by shocks unrelated to technology.
2011 (Working papers ; 862.11)  

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