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Title:On the (de)stabilizing effects of news shocks PDF Logo
Authors:Winkler, Roland C.
Wohltmann, Hans-Werner
Issue Date:2009
Series/Report no.:Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2009,05
Abstract:This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas in any purely forward-looking model, such as the baseline New Keynesian model, anticipation amplifies volatility, we obtain ambiguous results 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.
Subjects:Anticipated shocks
business cycles
volatility
JEL:E32
Document Type:Working Paper
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

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