Monetary policy shocks: We got news!

Nikolay Iskrev, Sandra Gomes and Caterina Mendicino

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: We augment a medium-scale DSGE model with monetary policy news shocks and t it to US data. Monetary policy news shocks improve the performance of the model both in terms of marginal data density and in terms of its ability to match the empirical moments of the variables used as observables. We estimate several versions of the model and nd that the one with news shocks over a two-quarter horizon dominates in terms of overall goodness of t. We show that, in the estimated model: (1) adding monetary policy news shocks to the model does not lead to identi cation problems; (2) monetary policy news shocks account for a larger fraction of the unconditional variance of the observables than the standard unanticipated monetary policy shock; (3) these news shocks also help to achieve a better matching of the covariances of consumption growth and the interest rate.

JEL-codes: C50 E32 E44 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-cba, nep-dge and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Journal Article: Monetary policy shocks: We got news! (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w201307

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