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1、ATheoryofDemandShocksGuidoLorenzoni∗November2006AbstractThispaperpresentsamodelofbusinesscyclesdrivenbyshockstoconsumerexpec-tationsregardingaggregateproductivity.Agentsarehitbyheterogeneousproductivityshocks,theyobservetheirownproductivityandanoisypublicsignalregardingaggregateproducti
2、vity.Thenoisecomponentofthissignal,or“newsshock,”hasthefeaturesofanaggregatedemandshock:itincreasesoutput,employmentandinflationintheshortrunandhasnoeffectsinthelongrun.Thedynamicsoftheeconomyfollowinganaggre-gateproductivityshockarealsoaffectedbythepresenceofimperfectinformation:afterapro
3、ductivityshockoutputadjustsgraduallytoitshigherlong-runlevel,andthereisatemporarynegativeeffectoninflationandemployment.Acalibratedversionofthemodelisabletogeneraterealisticamountsofshort-runvolatilityduetodemandshocks,inlinewithexistingtime-seriesevidence.Thepaperalsodevelopsatractableme
4、thodtosolveforward-lookingmodelswithdispersedinformation.JELCodes:E32,D58,D83Keywords:Consumerconfidence,aggregatedemandshocks,businesscycles,imperfectinformation.∗DepartmentofEconomics,MIT.Emailglorenzo@mit.edu.Anearlierversionofthispapercirculatedun-derthetitle:“ImperfectInformation,Co
5、nsumerExpectations,andBusinessCycles.”IgratefullyacknowledgetheusefulcommentsofMariosAngeletos,OlivierBlanchard,RicardoCaballero,MicheleCavallo,MarkGertler,VeronicaGuerrieri,ChristianHellwig,SteveMorris,NancyStokey,LauraVeldkamp,IvanWerning,MikeWood-fordandseminarparticipantsatMIT,Unive
6、rsityofVirginia,OhioStateUniversity,UCLA,Yale,NYU,EnteEinaudi-Rome,theMinnesotaWorkshopinMacroTheory,ColumbiaUniversity,BostonCollege,UniversityofMichigan,UniversityofCambridge,LSE,UCL,NBEREFG,Northwestern,BostonUniversity.1IntroductionAcommonideainbusinessandinpolicycirclesisthatchange
7、sinconsumerandinvestorexpectationshaveacausaleffectoncyclicalfluctuations.Inanold-fashionedkeynesianmodelashiftinconsumerexpectationswouldbecapturedbya“demandshock,”simplyaddedasanexogenousdisturbancetotheISequation.Existingempiricalworkinthistraditionshowsthatasizeablefractionof
