TY - JOUR
T1 - News and financial intermediation in aggregate fluctuations
AU - Gortz, Christoph
AU - Tsoukalas, John
PY - 2017/7/17
Y1 - 2017/7/17
N2 - An important disconnect in the news view of fluctuations is the lack of consistent evidence suggestive of significant macroeconomic effects of news shocks. Findings from estimated DSGE models that, in theory, allow news shocks to matter quantitatively, suggest they do not. This disconnect can be resolved once we augment a DSGE model with a financial channel that provides amplification to news shocks. Our results suggest news shocks to the future growth prospects of the economy to be significant drivers of U.S. fluctuations, explaining as much as 50% and 37% of the variance in hours worked and output respectively, in cyclical frequencies.
AB - An important disconnect in the news view of fluctuations is the lack of consistent evidence suggestive of significant macroeconomic effects of news shocks. Findings from estimated DSGE models that, in theory, allow news shocks to matter quantitatively, suggest they do not. This disconnect can be resolved once we augment a DSGE model with a financial channel that provides amplification to news shocks. Our results suggest news shocks to the future growth prospects of the economy to be significant drivers of U.S. fluctuations, explaining as much as 50% and 37% of the variance in hours worked and output respectively, in cyclical frequencies.
UR - https://www.scopus.com/pages/publications/85028998693
U2 - 10.1162/REST_a_00612
DO - 10.1162/REST_a_00612
M3 - Article
SN - 0034-6535
VL - 99
SP - 514
EP - 530
JO - The Review of Economics and Statistics
JF - The Review of Economics and Statistics
IS - 3
ER -
