Publications of Kyle Jurado    :chronological  alphabetical  combined listing:

%% Journal Articles   
@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}
}

@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{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{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}
}