Citation Context

...ys a piece of (possibly noisy) information about the future, which is taken into account by forwardlooking agents when optimally designing their intertemporal behavior. The quantitative importance of news shocks in DSGE models has been the focus of a fairly large empirical literature (among others, Beaudry and Portier (2006); Schmitt-Grohé and Uribe (2012); Jaimovich and Rebelo (2009); (Barsky and Sims (2011); Fujiwara et al. (2011). Notably, several studies have assessed the reliability of the sVAR approach for the identification of news shocks (e.g. Leeper et al. (2008); Fève et al. (2009); Fève and Jidoud (2012)). This note contributes to the econometric analysis of news shocks models by investigating the identifiability implications of shock anticipation in a class of linear rational expectations (LRE) models, namely those displaying lagged expectations. The presence of lagged expectations typically arises under several microfoundations, like the presence of staggered-price setting under past information (e.g. Woodford (2003)), information stickiness (e.g. Mankiw and Reis (2002)) or imperfect information in monetary policymaking (e.g. McCallum and Nelson (2000)). In this regard, we show that the deg...