IDENTIFYING NEWS SHOCKS with FORECAST DATA

Yasuo Hirose, Takushi Kurozumi

研究成果: Article査読

2 被引用数 (Scopus)

抄録

The empirical importance of news shocks - anticipated future shocks - in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical dynamic stochastic general equilibrium model. The estimated model shows new empirical evidence that technology news shocks are a major source of fluctuations in US output growth. Exploiting the forecast data not only generates more precise estimates of news shocks and other parameters in the model, but also increases the contribution of technology news shocks to the fluctuations.

本文言語English
ジャーナルMacroeconomic Dynamics
DOI
出版ステータスAccepted/In press - 2019

ASJC Scopus subject areas

  • 経済学、計量経済学

フィンガープリント

「IDENTIFYING NEWS SHOCKS with FORECAST DATA」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル