EconPapers    
Economics at your fingertips  
 

The expectational effects of news in business cycles: Evidence from forecast data

Wataru Miyamoto and Thuy Lan Nguyen

Journal of Monetary Economics, 2020, vol. 116, issue C, 184-200

Abstract: News shocks work through changes in expectations, so data on expectations contain important information for identification of news shocks. We demonstrate this by estimating a DSGE model augmented with news shocks using U.S. data between 1955Q1 and 2006Q4. News shocks, especially those with long anticipation horizons, generate modest output fluctuations before fundamental changes. The precision of the estimated news shocks greatly improves when data on expectations are used. These results arise because data on expectations are smooth and do not resemble actual output.

Keywords: News shocks; DSGE Model; Bayesian methods; Expectations; Forecast (search for similar items in EconPapers)
JEL-codes: C11 E12 E13 E32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393219301655
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:116:y:2020:i:c:p:184-200

DOI: 10.1016/j.jmoneco.2019.09.007

Access Statistics for this article

Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser

More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-06-30
Handle: RePEc:eee:moneco:v:116:y:2020:i:c:p:184-200