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Article: The Expectational Effects of News in Business Cycles: Evidence from Forecast Data

TitleThe Expectational Effects of News in Business Cycles: Evidence from Forecast Data
Authors
Miyamoto, WNguyen, TL
KeywordsNews shocks
DSGE Model
Bayesian methods
Expectations
Forecast
Issue Date2020
PublisherElsevier 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?
DOI: http://dx.doi.org/10.1016/j.jmoneco.2019.09.007
AbstractNews 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 Identifierhttp://hdl.handle.net/10722/282486
ISSN
0304-3932
2021 Impact Factor: 4.630
2020 SCImago Journal Rankings: 4.988
ISI Accession Number ID
WOS:000598634000012

 

DC FieldValueLanguage
dc.contributor.authorMiyamoto, W-
dc.contributor.authorNguyen, TL-
dc.date.accessioned2020-05-15T05:28:44Z-
dc.date.available2020-05-15T05:28:44Z-
dc.date.issued2020-
dc.identifier.citationJournal of Monetary Economics, 2020, v. 116, p. 184-200-
dc.identifier.issn0304-3932-
dc.identifier.urihttp://hdl.handle.net/10722/282486-
dc.description.abstractNews 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.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jme-
dc.relation.ispartofJournal of Monetary Economics-
dc.subjectNews shocks-
dc.subjectDSGE Model-
dc.subjectBayesian methods-
dc.subjectExpectations-
dc.subjectForecast-
dc.titleThe Expectational Effects of News in Business Cycles: Evidence from Forecast Data-
dc.typeArticle-
dc.identifier.emailMiyamoto, W: wataru@hku.hk-
dc.identifier.authorityMiyamoto, W=rp02409-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jmoneco.2019.09.007-
dc.identifier.scopuseid_2-s2.0-85072543475-
dc.identifier.hkuros309927-
dc.identifier.volumeEpub 2019-09-06-
dc.identifier.volume116-
dc.identifier.spage184-
dc.identifier.epage200-
dc.identifier.isiWOS:000598634000012-
dc.publisher.placeNetherlands-
dc.identifier.issnl0304-3932-

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