File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: The Expectational Effects of News in Business Cycles: Evidence from Forecast Data

TitleThe Expectational Effects of News in Business Cycles: Evidence from Forecast Data
Authors
KeywordsNews shocks
DSGE Model
Bayesian methods
Expectations
Forecast
Issue Date2019
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jme
Citation
Journal of Monetary Economics, 2019, Epub 2019-09-06 How to Cite?
AbstractNews shocks work through changes in expectations, so data on expectations contain important information for identification of news shocks. We demonstrate this by estimating a DSGE model augmented with news shocks using U.S. data between 1955Q1 and 2006Q4. News shocks, especially those with long anticipation horizons, generate modest output fluctuations before fundamental changes. The precision of the estimated news shocks greatly improves when data on expectations are used. These results arise because data on expectations are smooth and do not resemble actual output.
Persistent Identifierhttp://hdl.handle.net/10722/282486
ISSN
2019 Impact Factor: 2.963
2015 SCImago Journal Rankings: 4.150

 

DC FieldValueLanguage
dc.contributor.authorMiyamoto, W-
dc.contributor.authorNguyen, TL-
dc.date.accessioned2020-05-15T05:28:44Z-
dc.date.available2020-05-15T05:28:44Z-
dc.date.issued2019-
dc.identifier.citationJournal of Monetary Economics, 2019, Epub 2019-09-06-
dc.identifier.issn0304-3932-
dc.identifier.urihttp://hdl.handle.net/10722/282486-
dc.description.abstractNews shocks work through changes in expectations, so data on expectations contain important information for identification of news shocks. We demonstrate this by estimating a DSGE model augmented with news shocks using U.S. data between 1955Q1 and 2006Q4. News shocks, especially those with long anticipation horizons, generate modest output fluctuations before fundamental changes. The precision of the estimated news shocks greatly improves when data on expectations are used. These results arise because data on expectations are smooth and do not resemble actual output.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jme-
dc.relation.ispartofJournal of Monetary Economics-
dc.subjectNews shocks-
dc.subjectDSGE Model-
dc.subjectBayesian methods-
dc.subjectExpectations-
dc.subjectForecast-
dc.titleThe Expectational Effects of News in Business Cycles: Evidence from Forecast Data-
dc.typeArticle-
dc.identifier.emailMiyamoto, W: wataru@hku.hk-
dc.identifier.authorityMiyamoto, W=rp02409-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jmoneco.2019.09.007-
dc.identifier.scopuseid_2-s2.0-85072543475-
dc.identifier.hkuros309927-
dc.identifier.volumeEpub 2019-09-06-
dc.publisher.placeNetherlands-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats