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News Shocks / Robert B. Barsky, Eric R. Sims.
- Format:
- Book
- Author/Creator:
- Barsky, Robert B.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15312.
- NBER working paper series no. w15312
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- We implement a new approach for the identification of "news shocks" about future technology. In a VAR featuring a measure of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to technology innovations that best explains future variation in technology. In the data, news shocks account for the bulk of low frequency variation in technology. News shocks are positively correlated with consumption, stock price, and consumer confidence innovations, and negatively correlated with inflation innovations. The disinflationary nature of news shocks is consistent with the implications of sensibly modified versions of a New Keynesian model.
- Notes:
- Print version record
- September 2009.
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