Levchenko, Andrei A.; Pandalai-Nayar, Nitya - Research Seminar in International Economics, University …
We propose a novel identification scheme for a non-technology business cycle shock, that we label Òsentiment.Ó This is a shock orthogonal to identified surprise and news TFP shocks that maximizes the short-run forecast error variance of an expectational variable, alternatively a GDP forecast...