This paper proposes a two-step procedure in order to identify belief shocks—shocks to expectations about the current state of the economy. First, we use the Survey of Professional Forecasters to measure nowcast errors about contemporaneous output growth. Second, we extract belief shocks from nowcast errors, once by regressing them on existing measures of structural shocks, and once by imposing sign restrictions on a VAR model. Using both approaches, we find that belief shocks trigger similar adjustment dynamics and a high degree of co-movement across macroeconomic variables. Belief shocks account for about one third of short-run output fluctuations.

中文翻译：

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增长预期、过度乐观和短期波动

本文提出了一个两步程序来识别信念冲击——对当前经济状况的预期的冲击。首先，我们使用专业预测者调查来衡量关于同期产出增长的临近预报误差。其次，我们从临近预报错误中提取信念冲击，一次是通过对现有结构性冲击的度量进行回归，一次是通过对 VAR 模型施加符号限制。使用这两种方法，我们发现信念冲击会触发类似的调整动态和宏观经济变量之间的高度联动。信念冲击约占短期产出波动的三分之一。