| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12139 |
| DP12139 News, Uncertainty and Economic Fluctuations | |
| Mario Forni; Luca Gambetti; Luca Sala | |
| 发表日期 | 2017-07-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We formalize the idea that uncertainty is generated by news about future developments in economic conditions which are not perfectly predictable by the agents. Using a simple model of limited information, we show that uncertainty shocks can be obtained as the square of news shocks. We develop a two-step econometric procedure to estimate the effects of news and we find highly nonlinear effects. Large news shocks increase uncertainty. This mitigates the effects of good news and amplifies the effects of bad news in the short run. By contrast, small news shocks reduce uncertainty and increase output in the short run. The Volcker recession and the Great Recession were exacerbated by the uncertainty effects of news. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp12139 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540950 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti,Luca Sala. DP12139 News, Uncertainty and Economic Fluctuations. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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