Modeling the impact of news shocks on the economy in dynamic stochastic general equilibrium models

Моделирование влияния новостных шоков на экономику в динамических стохастических моделях общего равновесия

Sugaipov, Denis (Сугаипов, Денис) ()
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Sugaipov, Denis (Сугаипов, Денис): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: This paper systematizes the experience of empirical research on news shocks, in particular on models of vector autoregressions, as well as dynamic stochastic models of general equilibrium. The review examines the work with various types of shocks, presents the main disadvantages of different classes of models used to analyze the impact of news shocks on developed and developing economies. The main prerequisites that need to be included in the DSGE are highlighted models so that these models can demonstrate a co-directional change the main macroeconomic indicators in response to the news shock. It has also been demonstrated that VAR models and DSGE models use many similar ideas – it is useful to include predictive indicators in each of these models. During the research it was found that the proportion of explained variation in works with DSGE models is very different from the proportion of explained variation in works with VAR models. A possible reason may be that VAR models are characterized by the problem of non-fundamentality.

Keywords: news shocks; aggregate factor productivity; terms of trade; business cycles; dynamic stochastic general equilibrium models (search for similar items in EconPapers)
Pages: 17 pages
Date: 2023-06-13
New Economics Papers: this item is included in nep-dge
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