Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/28370
Authors: 
Winkler, Roland C.
Wohltmann, Hans-Werner
Year of Publication: 
2009
Series/Report no.: 
Kiel Working Paper 1542
Abstract: 
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.
Subjects: 
Anticipated Shocks
Business Cycles
Volatility
JEL: 
E32
Document Type: 
Working Paper

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