Résumé
This paper studies the impact of Higher Order Belief (HOB) shocks, representing shifts in agents’ beliefs about others’ beliefs, on macroeconomic outcomes. The dynamic causal effects of these shocks are identified by leveraging a combination of a proxy-VAR approach and DSGE-based instruments. Our findings suggest that HOB shocks are indeed a key driver of the business cycle and account for a sizeable share of the observed business cycle volatility. Finally, our identification approach ensures that these shocks are not confounded with other structural/fundamental shocks.
Mots-clés
Higher Order Beliefs; Business cycles; proxy-VAR; DSGE;
Codes JEL
- C32: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
- E32: Business Fluctuations • Cycles
Référence
Patrick Fève, Fabrice Collard et Alain Guay, « Believe it or not, it’s all about Beliefs! », TSE Working Paper, n° 24-1539, mai 2024.
Voir aussi
Publié dans
TSE Working Paper, n° 24-1539, mai 2024