Data di Pubblicazione:
2017
Citazione:
Forni, M., L., Gambetti e L., Sala. "News, Uncertainty and Economic Fluctuations (No News is Good News)" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2017.
Abstract:
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.
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.
Tipologia CRIS:
Working paper
Keywords:
news shocks, uncertainty shocks, imperfect information, structural VARs
Elenco autori:
Forni, M.; Gambetti, L.; Sala, L.
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