Work

News Shocks

Year: 2009

Type: report

Abstract: We implement a new approach for the identification of "news shocks" about future technology.In a VAR featuring a measure of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to technology innovations that best explains future variation in technology.In the data, news shocks account for the bulk of low frequency variation in technology.News shocks are positively correlated with consumption, stock price, and consumer confidence innovations, and negatively correlated with inflation innovations.The disinflationary nature of news shocks is consistent with the implications of sensibly modified versions of a New Keynesian model.

Source: National Bureau of Economic Research

DOI: 10.3386/w15312

Authors: Robert Barsky, Eric Sims

Institutions: University of Notre Dame, National Bureau of Economic Research, University of Michigan

Language: German

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Russell Sage Foundation, Sage Foundation, University of Michigan

OpenAlex ID: W4248524214

Cites: 27

Cited by: 20

Related to: 10