News and Financial Intermediation in Aggregate Fluctuations

• 成果类型: Article
• 署名作者: Gortz, Christoph; Tsoukalas, John D.
• 署名单位: University of Birmingham; University of Glasgow
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00612
• 发表日期: 2017-07
• 页码: 514-530
• 关键词: technology shocks; business cycles; expectations; prices

摘要

An important disconnect in the news view of fluctuations is the lack of consistent evidence suggestive of significant macroeconomic effects of news shocks. Findings from estimated DSGE models that in theory allow news shocks to matter quantitatively suggest that they do not. This disconnect can be resolved once we augment a DSGE model with a financial channel that provides amplification to news shocks. Our results suggest that news shocks to the future growth prospects of the economy are significant drivers of U.S. fluctuations, explaining as much as 50% and 37% of the variance in hours worked and output, respectively, in cyclical frequencies.