On the (de)stabilizing effects of news shocks
This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas anticipation amplifies volatility in any purely forward-looking model, such as the baseline New Keynesian model, the results are ambiguous 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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- Frank Smets & Raf Wouters, 2003.
"An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,"
Journal of the European Economic Association,
MIT Press, vol. 1(5), pages 1123-1175, 09.
- Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research 35, National Bank of Belgium.
- Paul Beaudry & Franck Portier, 2004.
"Stock Prices, News and Economic Fluctuations,"
in: Enhancing Productivity (NBER-CEPR-TCER-Keio conference)
National Bureau of Economic Research, Inc.
- Paul Beaudry & Franck Portier, 2004. "Stock Prices, News and Economic Fluctuations," NBER Working Papers 10548, National Bureau of Economic Research, Inc.
- Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," CEPR Discussion Papers 3844, C.E.P.R. Discussion Papers.
- Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," IDEI Working Papers 158, Institut d'Économie Industrielle (IDEI), Toulouse.
- Paul Beaudry & Bernd Lucke, 2009.
"Letting Different Views about Business Cycles Compete,"
NBER Working Papers
14950, National Bureau of Economic Research, Inc.
- Paul Beaudry & Bernd Lucke, 2010. "Letting Different Views about Business Cycles Compete," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 413-455 National Bureau of Economic Research, Inc.
- Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009. "On the dynamic implications of news shocks," Economics Letters, Elsevier, vol. 102(2), pages 96-98, February.
- Schmitt-Grohé, Stephanie & Uribe, Martín, 2009.
"What’s News in Business Cycles,"
CEPR Discussion Papers
7201, C.E.P.R. Discussion Papers.
- Michael Woodford, 2009.
"Convergence in Macroeconomics: Elements of the New Synthesis,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 1(1), pages 267-79, January.
- M. Woodford., 2010. "Convergence in Macroeconomics: Elements of the New Synthesis," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
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