On the (de)stabilizing effects of news shocks

Roland C. Winkler () and Hans-Werner Wohltmann ()

No 2009,05, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas in any purely forward-looking model, such as the baseline New Keynesian model, anticipation amplifies volatility, we obtain ambiguous results when including a backward-looking component. In addition to these theoretical findings, we use the estimated model of Smets and Wouters (2003) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area when compared to unanticipated shocks. --

Keywords: Anticipated shocks; business cycles; volatility (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cba, nep-dge and nep-mac
Date: 2009
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Related works:
Journal Article: On the (de)stabilizing effects of news shocks (2012)
Working Paper: On the (de)stabilizing effects of news shocks (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:zbw:cauewp:200905

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