Bhandari, Anmol
[Verfasser:in]
;
Borovička, Jaroslav
[Sonstige Person, Familie und Körperschaft];
Ho, Paul
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, May 2016
Erschienen in:NBER working paper series ; no. w22225
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w22225
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
System requirements: Adobe [Acrobat] Reader required for PDF files
Beschreibung:
We develop a framework to analyze economies with agents facing time-varying concerns for model misspecification. These concerns lead agents to interpret economic outcomes and make decisions through the lens of a pessimistically biased 'worst-case' model. We combine survey data and implied theoretical restrictions on the relative magnitudes and comovement of forecast biases across macroeconomic variables to identify ambiguity shocks as exogenous fluctuations in the worst-case model. Our solution method delivers tractable linear approximations that preserve the effects of time-varying ambiguity concerns and permit estimation using standard Bayesian techniques. Applying our framework to an estimated New-Keynesian business cycle model with frictional labor markets, we find that ambiguity shocks explain a substantial portion of the variation in labor market quantities