Forecast revisions as instruments for news shocks

• 成果类型: Article
• 署名作者: Cascaldi-Garcia, Danilo
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103729
• 发表日期: 2025
• 关键词: News shocks; Proxy SVAR; instrumental variable; professional forecasts

摘要

Upon arrival of macroeconomic news, agents update their beliefs about the long-run fundamentals of the economy. I show that signals about agents' expectations, proxied by professional forecasters' outlook revisions, convey sufficient information to identify the effects of expected future technological changes, or news shocks. The approach benefits from not depending on an empirical technology measure or on assumptions about common trends and the timing of the technological change. News shocks cause a strong anticipation effect in investment, while there is less evidence of consumption smoothing-in line with news-driven business cycle models with financial frictions.