"Why is modern macroeconomics all about identifying this shock and that shock?"
Coming from a theoretical econometrics background, I have recently delved into empirical macro literature. I am a bit confused about the meaning and significance of the notion of shock. Why we are trying to see the macro-world through the lens of shocks? What is the nature of these shocks that gives them this much explanatory power?
The only explanation I could come up with is that this obsession with shocks is a result of trying to fit macro problems into the framework of Wold decomposition theorem. Any covariance stationary process can be decomposed into a deterministic part and an $MA(\infty)$ part. The deterministic part fits well with the idea of steady-state of the endogenous variables, while the stochastic part gives rise to the idea of seeing the macro variables fluctuation as a result of MA shocks.
What is confusing to me is that it seems macroeconomists are trying to find "real" meaning for this merely-statistical notion of shock. The impulse response function of tax shock, government expenditure shock, etc., are how they see the world.
What am I missing?