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| Publications of Kyle Jurado :chronological combined listing:%% Journal Articles @article{fds302430, Author = {Jurado, K and Ludvigson, SC and Ng, S}, Title = {Measuring uncertainty}, Journal = {American Economic Review}, Volume = {105}, Number = {3}, Pages = {1177-1216}, Publisher = {American Economic Association}, Year = {2015}, Month = {March}, ISSN = {0002-8282}, url = {http://dx.doi.org/10.1257/aer.20131193}, Abstract = {This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than indicated by popular uncertainty proxies, but when they do occur, they are larger, more persistent, and are more correlated with real activity. Our estimates provide a benchmark to evaluate theories for which uncertainty shocks play a role in business cycles.}, Doi = {10.1257/aer.20131193}, Key = {fds302430} } @article{fds320593, Author = {Chahrour, R and Jurado, KE}, Title = {News or Noise? The Missing Link}, Number = {228}, Pages = {50 pages}, Publisher = {American Economic Association}, Year = {2016}, Month = {September}, url = {http://dx.doi.org/10.1257/aer.20170792}, Abstract = {The macroeconomic literature on belief-driven business cycles treats news and noise as distinct representations of people’s beliefs about economic fundamentals. We prove that these two representations are actually observationally equivalent. This means that the decision to use one representation or the other must be made on theoretical, and not empirical, grounds. Our result allows us to determine the importance of beliefs as an independent source of fluctuations. Using three prominent models from this literature, we show that existing research has understated the importance of independent shocks to beliefs. This is because representations with anticipated and unanticipated shocks mix the fluctuations due independently to beliefs with the fluctuations due to fundamentals. We also argue that the observational equivalence of news and noise representations implies that structural vector auto-regression analysis is equally appropriate for recovering both news and noise shocks.}, Doi = {10.1257/aer.20170792}, Key = {fds320593} } @article{fds353867, Author = {Chahrour, R and Jurado, K}, Title = {Optimal foresight}, Journal = {Journal of Monetary Economics}, Volume = {118}, Pages = {245-259}, Year = {2021}, Month = {March}, url = {http://dx.doi.org/10.1016/j.jmoneco.2020.11.001}, Abstract = {Agents have foresight when they receive information about a random process above and beyond the information contained in its current and past history. In this paper, we propose an information-theoretic measure of the quantity of foresight in an information structure, and show how to separate informational assumptions about foresight from physical assumptions about the dynamics of the processes itself. We then develop a theory of endogenous foresight in which the type of foresight is chosen optimally by economic agents. In a prototypical dynamic model of consumption and saving, we derive a closed-form solution to the optimal foresight problem.}, Doi = {10.1016/j.jmoneco.2020.11.001}, Key = {fds353867} } @article{fds369331, Author = {Jurado, K}, Title = {Rational inattention in the frequency domain}, Journal = {Journal of Economic Theory}, Volume = {208}, Year = {2023}, Month = {March}, url = {http://dx.doi.org/10.1016/j.jet.2022.105604}, Abstract = {This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provides a new line of attack for obtaining closed-form solutions, and can be implemented numerically using a simple iterative algorithm. The frequency-domain approach also sheds new light on why rational inattention produces forward-looking behavior: inattentive agents are willing to accept more uncertainty about the timing of disturbances in exchange for less uncertainty about fluctuations at the most important frequencies.}, Doi = {10.1016/j.jet.2022.105604}, Key = {fds369331} } @article{fds368507, Author = {Chahrour, R and Jurado, K}, Title = {Recoverability and Expectations-Driven Fluctuations}, Journal = {Review of Economic Studies}, Volume = {89}, Number = {1}, Pages = {214-239}, Year = {2022}, Month = {January}, url = {http://dx.doi.org/10.1093/restud/rdab010}, Abstract = {Time series methods for identifying structural economic disturbances often require disturbances to satisfy technical conditions that can be inconsistent with economic theory. We propose replacing these conditions with a less restrictive condition called recoverability, which only requires that the disturbances can be inferred from the observable variables. As an application, we show how shifting attention to recoverability makes it possible to construct new identifying restrictions for technological and expectational disturbances. In a vector autoregressive example using post-war U.S. data, these restrictions imply that independent disturbances to expectations about future technology are a major driver of business cycles.}, Doi = {10.1093/restud/rdab010}, Key = {fds368507} } | |
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