Timing of receiving information

Christiano, L. J.; R. Motto and M. Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1), 27-65.

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We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
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