English, Article, Journal or magazine article edition: Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach Ippei Fujiwara; Yasuo Hirose; Mototsugu Shintani

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Bookmark: http://trove.nla.gov.au/version/35343
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
Author
  • Ippei Fujiwara
  • Yasuo Hirose
  • Mototsugu Shintani
Physical Description
  • preprint
Notes
  • We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a major source of aggregate fluctuations. For this purpose, we extend a dynamic stochastic general equilibrium model, a la Christiano, Eichenbaum, and Evans (2005), by allowing news shocks on the total factor productivity and estimate the model using Bayesian methods. Estimation results on the Japanese and U.S. economies show that (1) the news shocks play an important role in business cycles; (2) a news shock with a longer forecast horizon has larger effects on nominal variables; and (3) the overall effect of the total factor productivity on hours worked becomes ambiguous in the presence of news shocks.
  • Demand for Money, Aggregation, Heterogeneity
  • RePEc:ime:imedps:08-e-16
  • RePEc:cla:levrem:122247000000002352
Language
  • English
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