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News and Financial Intermediation in Aggregate and Sectoral Fluctuations

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  • Görtz, Christoph
  • Tsoukalas, John D.

Abstract

We estimate a two-sector DSGE model with financial intermediaries—a-la Gertler and Karadi (2011) and Gertler and Kiyotaki (2010)—and quantify the importance of news shocks in accounting for aggregate and sectoral fluctuations. Our results indicate a significant role of financial market news as a predictive force behind fluctuations. Specifically, news about the value of assets held by financial intermediaries, reflected one to two years in advance in corporate bond markets, generate countercyclical corporate bond spreads, affect the supply of credit, and are estimated to be a significant source of aggregate fluctuations, accounting for approximately 31% of output, 22% of investment and 31% of hours worked variation in cyclical frequencies. Importantly, asset value news shocks generate both aggregate and sectoral co-movement with a standard preference specification. Financial intermediation is key for the importance and propagation of asset value news shocks.

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  • Görtz, Christoph & Tsoukalas, John D., 2012. "News and Financial Intermediation in Aggregate and Sectoral Fluctuations," Dynare Working Papers 12, CEPREMAP.
    • Handle: RePEc:cpm:dynare:012
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    1. News and Financial Intermediation in Aggregate and Sectoral Fluctuations
      by Christian Zimmermann in NEP-DGE blog on 2013-01-25 11:02:16

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    More about this item

    Keywords

    news; financial intermediation; business cycles; DSGE; Bayesian estimation;
    All these keywords.

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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