Kyle Jurado

Journal article Journal of Monetary Economics · November 1, 2025 In macroeconomic models with dispersed information, agents have an incentive to learn from endogenous variables, which themselves depend on the forecasts of others. This paper revisits the model of Townsend (1983) to characterize how this mechanism affects ... Full text Cite

Rational inattention in the frequency domain

Journal article Journal of Economic Theory · March 1, 2023 This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provi ... Full text Cite

Recoverability and Expectations-Driven Fluctuations

Journal article Review of Economic Studies · January 1, 2022 Time series methods for identifying structural economic disturbances often require disturbances to satisfy technical conditions that can be inconsistent with economic theory. We propose replacing these conditions with a less restrictive condition called re ... Full text Cite

Optimal foresight

Journal article Journal of Monetary Economics · March 1, 2021 Agents have foresight when they receive information about a random process above and beyond the information contained in its current and past history. In this paper, we propose an information-theoretic measure of the quantity of foresight in an information ... Full text Cite

Measuring uncertainty

Journal article American Economic Review · March 1, 2015 This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation ... Full text Cite