News shocks, nonfundamentalness and volatility

Offick, Sven; Wohltmann, Hans-Werner

doi:10.1016/j.econlet.2013.01.004

Cited by 4 publications

(2 citation statements)

References 12 publications

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“…36 Mertens and Ravn [2010] and Offick and Wohltmann [2013] discuss of a case in which analytical results can be obtained. If x t = aE t x t+1 + ε t−q with |a|< 1, then the model solution is…”

Section: Introducing the Non-fundamentalness Problem Using Univariatementioning

confidence: 99%

News Driven Business Cycles: Insights and Challenges

Beaudry¹,

Portier²

2013

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There is a widespread belief that changes in expectations may be an important independent driver of economic fluctuations. The news view of business cycles offers a formalization of this perspective. In this paper we discuss mechanisms by which changes in agents' information, due to the arrival of news, can cause business cycle fluctuations driven by expectational change, and we review the empirical evidence aimed at evaluating its relevance. In particular, we highlight how the literature on news and business cycles offers a coherent way of thinking about aggregate fluctuations, while at the same time we emphasize the many challenges that must be addressed before a proper assessment of its role in business cycles can be established.

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Section: Introducing the Non-fundamentalness Problem Using Univariatementioning

confidence: 99%

News Driven Business Cycles: Insights and Challenges

Beaudry¹,

Portier²

2013

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“…Schmitt-Grohé and Uribe (2012). 2 Further related to this branch of literature is the paper by Offick and Wohltmann (2013), who study the properties of the lag polynomial associated with news shocks. 3 To see this, consider the model y t = ρy t−1 +ε t−q , where ε t−q ∼ N (0, σ 2 ) is an i.i.d.…”

mentioning

confidence: 99%

Volatility effects of news shocks in New Keynesian models with optimal monetary policy

Offick

Wohltmann

2016

Economics Letters

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News-Driven Business Cycles: Insights and Challenges

Beaudry

Portier

2014

Journal of Economic Literature

251

142

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There is a widespread belief that changes in expectations may be an important independent driver of economic fluctuations. The news view of business cycles offers a formalization of this perspective. In this paper we discuss mechanisms by which changes in agents' information, due to the arrival of news, can cause business cycle fluctuations driven by expectational change, and we review the empirical evidence aimed at evaluating their relevance. In particular, we highlight how the literature on news and business cycles offers a coherent way of thinking about aggregate fluctuations, while at the same time we emphasize the many challenges that must be addressed before a proper assessment of the role of news in business cycles can be established. (JEL D83, D84, E13, E32, O33)

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News shocks, nonfundamentalness and volatility

Cited by 4 publications

References 12 publications

News Driven Business Cycles: Insights and Challenges

News Driven Business Cycles: Insights and Challenges

Volatility effects of news shocks in New Keynesian models with optimal monetary policy

News-Driven Business Cycles: Insights and Challenges

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