Can news be a major source of aggregate fluctuations? :
a Bayesian DSGE approach /
Ippei Fujiwara, Yasuo Hirose, and Mototsugu Shintani

Description

Main Author

Fujiwara, Ippei

Related Names

Shintani, Mototsugu
Hirose, Yasuo
Nihon Ginkō. Kin'yū Kenkyūjo

Language(s)

English

Published

Tokyo : Institute for Monetary and Economic Studies, Bank of Japan, [2008]

Subjects

Journalism > Journalism / Economic aspects > Journalism / Economic aspects / Japan > Journalism / Economic aspects / Japan / Mathematical models
Journalism > Journalism / Economic aspects > Journalism / Economic aspects / United States > Journalism / Economic aspects / United States / Mathematical models
Business cycles > Business cycles / Japan > Business cycles / Japan / Mathematical models
Business cycles > Business cycles / United States > Business cycles / United States / Mathematical models

Summary

Bayesian estimation; Business cycles; News; Total Factor Productivity (TFP)
"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."

Note

Cover title
"July 2008"--Prelim
Available both in print and online

Physical Description

25 pages : illustrations ; 30 cm

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