A note on news about the future: the impact on DSGE models and their VAR representation

Vo Phuong Mai Le, David Meenagh and A. Patrick Minford

No E2016/11, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: In this paper we investigate the role of news shocks in aggregate fluctuations by comparing the empirical performance of models with and without the feature of the news shocks. We found a trivial difference between the two models. That is, the model with news shocks explains the variation as well as the alternative. The reason is that the news shocks can only advance the date at which agents know about the changes, but they do not change the stochastic structure of the model.

Keywords: News shocks; DSGE; VAR; Indirect Inference (search for similar items in EconPapers)
JEL-codes: E2 E3 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2016-11
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: A note on news about the future: the impact on DSGE models and their VAR representation (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2016/11

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