File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.jmoneco.2019.09.007
- Scopus: eid_2-s2.0-85072543475
- WOS: WOS:000598634000012
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: The Expectational Effects of News in Business Cycles: Evidence from Forecast Data
Title | The Expectational Effects of News in Business Cycles: Evidence from Forecast Data |
---|---|
Authors | |
Keywords | News shocks DSGE Model Bayesian methods Expectations Forecast |
Issue Date | 2020 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jme |
Citation | Journal of Monetary Economics, 2020, v. 116, p. 184-200 How to Cite? |
Abstract | News 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 Identifier | http://hdl.handle.net/10722/282486 |
ISSN | 2023 Impact Factor: 4.3 2023 SCImago Journal Rankings: 6.564 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Miyamoto, W | - |
dc.contributor.author | Nguyen, TL | - |
dc.date.accessioned | 2020-05-15T05:28:44Z | - |
dc.date.available | 2020-05-15T05:28:44Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Journal of Monetary Economics, 2020, v. 116, p. 184-200 | - |
dc.identifier.issn | 0304-3932 | - |
dc.identifier.uri | http://hdl.handle.net/10722/282486 | - |
dc.description.abstract | News 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.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jme | - |
dc.relation.ispartof | Journal of Monetary Economics | - |
dc.subject | News shocks | - |
dc.subject | DSGE Model | - |
dc.subject | Bayesian methods | - |
dc.subject | Expectations | - |
dc.subject | Forecast | - |
dc.title | The Expectational Effects of News in Business Cycles: Evidence from Forecast Data | - |
dc.type | Article | - |
dc.identifier.email | Miyamoto, W: wataru@hku.hk | - |
dc.identifier.authority | Miyamoto, W=rp02409 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jmoneco.2019.09.007 | - |
dc.identifier.scopus | eid_2-s2.0-85072543475 | - |
dc.identifier.hkuros | 309927 | - |
dc.identifier.volume | Epub 2019-09-06 | - |
dc.identifier.volume | 116 | - |
dc.identifier.spage | 184 | - |
dc.identifier.epage | 200 | - |
dc.identifier.isi | WOS:000598634000012 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0304-3932 | - |