New evidence on the robust identification of news shocks: Role of revisions in utilization‐adjusted TFP series and term structure data
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DOI: 10.1002/for.2507
Abstract: Data revisions and selections of appropriate forwarding†looking variables have a major impact on true identification of news shocks and quality of research findings derived from structural vector autoregression (SVAR) estimation. This paper revisits news… read more here.
Keywords: news shocks; news; identification news; term structure ... See more keywords
News Shocks, Business Cycles, and the Disinflation Puzzle
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DOI: 10.1111/jmcb.12939
Abstract: We argue that key findings of the recent empirical literature on the effects of news about future technology — including their tendency to generate negative comovement of macroeconomic aggregates, and their puzzling disinflationary nature —… read more here.
Keywords: shocks business; news shocks; news; disinflation puzzle ... See more keywords
News and Financial Intermediation in Aggregate Fluctuations
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DOI: 10.1162/rest_a_00612
Abstract: Abstract 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… read more here.
Keywords: news shocks; news; news financial; intermediation aggregate ... See more keywords