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On the (de)stabilizing effects of news shocks* (1542)
by
Hans-werner Wohltmann
,
Roland Winkler
,
Hans-werner Wohltmann
| Citations: | 1 - 0 self |
BibTeX
@MISC{Wohltmann42onthe,
author = {Hans-werner Wohltmann and Roland Winkler and Hans-werner Wohltmann},
title = {On the (de)stabilizing effects of news shocks*},
year = {1542}
}
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Abstract
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.
