On the (de)stabilizing effects of news shocks

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economics Working Paper ; No. 2009-05

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles
• Subject: Anticipated shocks ; business cycles ; volatility ; Schock ; Konjunktur ; Volatilität ; Europäische Wirtschafts- und Währungsunion ; Theorie ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Winkler, Roland C. ; Wohltmann, Hans-Werner
• Event: Veröffentlichung
• (who): Kiel University, Department of Economics
• (where): Kiel
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/27740
• Last update: 10.03.2025, 11:43 AM CET