Publication
Aug 2009
This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas anticipation amplifies volatility in any purely forward-looking model, such as the baseline New Keynesian model, the results are ambiguous when including a backward-looking component. In addition to these theoretical findings, the authors 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.
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English (PDF, 9 pages, 548 KB) |
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Author | Roland Winkler, Hans-Werner Wohltmann |
Series | Kiel Institute Working Papers |
Issue | 1542 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2009 Kiel Institute for the World Economy |