man bites dog business cycles

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1、MAN-BITES-DOGBUSINESSCYCLESKRISTOFFERP.NIMARKAbstract.Thenewsworthinessofaneventispartlydeterminedbyhowunusualitisandthispaperinvestigatesthebusinesscycleimplicationsofthisfact.Wepresentatractablemodelthatfeaturesaninformationstructureinwhichsometypesofsignalsaremorelikelytobeobservedafterunusual

2、events.Theproposedinformationstructurecanhelpusun-derstandwhyweobserve(i)largechangesinmacroeconomicaggregatevariableswithoutacorrespondinglylargechangeinunderlyingfundamentals(ii)persistentperiodsofhighmacroeconomicvolatilityand(iii)apositivecorrelationbetweenabsolutechangesinmacrovariablesandth

3、ecross-sectionaldispersionofexpectationsasmeasuredbysurveydata.Theseresultsareconsequencesofoptimalupdatingbyagentswhentheavailabilityofsomesignalsispositivelycorrelatedwithtail-events.Themodelisestimatedbylikelihoodbasedmethodsusingrawsurveydataandaquarterlytimeseriesoftotalfactorproductivityalo

4、ngwithstandardaggregatetimeseries.TheestimatedmodelsuggeststhattherehavebeenepisodesinrecentUShistorywhentheimpactonoutputofinnovationstoproductivityofagivenmagnitudewereuptotwiceaslargecomparedtonormaltimes.1.IntroductionAwell-knownjournalisticdictumstatesthatdog-bites-manisnotnews,butman-bites

5、-dogisnews".Thatis,unusualeventsaremorelikelytobeconsiderednewsworthythaneventsthatarecommonplace.Thispaperinvestigatesthebusinesscycleimplicationsofthisaspectofnewsreporting.Particularly,wewilldemonstratethatasingleandrelativelysimplemechanismcanhelpusunderstandthreefeaturesofbusinesscycles.Firs

6、t,therecanbelargechangesinaggregatevariableslikeCPIin ationandGDPgrowth,butwithoutaneasilyidentiablechangeinfundamentalsofcomparablemagnitude.Second,thereappeartobepersistentepisodesofincreasedmacroeconomicvolatilityinthedata.Third,measuresofuncertaintyaswellasmeasuresofcross-sectionaldispersion

7、ofexpectationsarepositivelyDate:November28,2011TheauthorisgratefulforcommentsandsuggestionsfromTobiasBroer,Cos-minIlut,JarkkoJaaskela,LeonardoMelosi,EmreOzdenoren,PontusRendahl,MartinSchneider,JaumeVentura,MirkoWiederh