Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
Ippei Fujiwara,
Yasuo Hirose and
Mototsugu Shintani
Journal of Money, Credit and Banking, 2011, vol. 43, issue 1, 1-29
Abstract:
We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a major source of aggregate fluctuations. For this purpose, we extend a standard dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003, 2007) by allowing news shocks on the total factor productivity (TFP), and estimate the model using Bayesian methods. Estimation results on the U.S. and Japanese economies suggest that (i) news shocks play a relatively more important role in the United States than in Japan, (ii) a news shock with a longer forecast horizon has larger effects on nominal variables, and (iii) the overall effect of the TFP on hours worked becomes ambiguous in the presence of news shocks.
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)
Downloads: (external link)
https://doi.org/10.1111/j.1538-4616.2010.00363.x
Related works:
Journal Article: Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach (2011)
Working Paper: Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach (2009) 
Working Paper: Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach (2008) 
Working Paper: Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach (2008) 
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:wly:jmoncb:v:43:y:2011:i:1:p:1-29
Access Statistics for this article
Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West
More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().