Forecast revisions as instruments for news shocks

Danilo Cascaldi-Garcia

Journal of Monetary Economics, 2025, vol. 151, issue C

Abstract: Upon arrival of macroeconomic news, agents update their beliefs about the long-run fundamentals of the economy. I show that signals about agents’ expectations, proxied by professional forecasters’ outlook revisions, convey sufficient information to identify the effects of expected future technological changes, or news shocks. The approach benefits from not depending on an empirical technology measure or on assumptions about common trends and the timing of the technological change. News shocks cause a strong anticipation effect in investment, while there is less evidence of consumption smoothing—in line with news-driven business cycle models with financial frictions.

Keywords: News shocks; Proxy SVAR; Instrumental variable; Professional forecasts (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030439322400182X
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:151:y:2025:i:c:s030439322400182x

DOI: 10.1016/j.jmoneco.2024.103729

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 ().