EconPapers    
Economics at your fingertips  
 

Are asset price data informative about news shocks? A DSGE perspective

Nikolay Iskrev ()

No 2018/33, Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa

Abstract: Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates.This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks.This paper shows how to formally evaluate the information content of observed variables with respect to unobservedshocks in structural macroeconomic models.The proposed methodology is applied to two different real business cycle models with news shocks.The contribution of asset prices is found to be relatively small.The methodology is general and can be used to measure the informational importance of observables with respect to latent variables in DSGE models.Thus,it provides a framework for systematic treatment of such issues,which are usually discussed in an informal manner in the literature.

Keywords: DSGE models; News Shocks; Asset prices; Information; Identification (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-mac
Date: 2018-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_033_2018.pdf (application/pdf)

Related works:
Working Paper: Are asset price data informative about news shocks? A DSGE perspective (2018) Downloads
Working Paper: Are asset price data informative about news shocks? A DSGE perspective (2018) Downloads
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:ise:remwps:wp0332018

Access Statistics for this paper

More papers in Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa ISEG - Lisbon School of Economics and Management, REM, R. Miguel Lupi, 20, LISBON, PORTUGAL.
Bibliographic data for series maintained by Sandra Araújo ().

 
Page updated 2019-11-07
Handle: RePEc:ise:remwps:wp0332018