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On the (de)stabilizing effects of news shocks

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Author Info
Winkler, Roland C.
Wohltmann, Hans-Werner

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Abstract

This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas in any purely forward-looking model, such as the baseline New Keynesian model, anticipation amplifies volatility, we obtain ambiguous results when including a backward-looking component. In addition to these theoretical findings, we use the estimated model of Smets and Wouters (2003) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area when compared to unanticipated shocks. --

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Publisher Info
Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2009,05.

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Date of creation: 2009
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Handle: RePEc:zbw:cauewp:200905

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Web page: http://www.wiso.uni-kiel.de/econ/

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Related research
Keywords: Anticipated shocks; business cycles; volatility;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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This page was last updated on 2009-11-30.

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