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Christian-Albrechts-Universität zu Kiel

Institut für Volkswirtschaftslehre - Department of Economics
Economics Working Papers

Economics Working Papers: Abstract 2009-05


Nummer

2009-05

Autoren

Roland C. Winkler, Hans-Werner Wohltmann

 

Titel

 

On the (de)stabilizing effects of news shocks
Abstract This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas in any purely forward-looking model, such as the baseline New Keynesian model, anticipation amplifies volatility, we obtain ambiguous results when including a backward-looking component. In addition to these theoretical findings, we use the estimated model of Smets and Wouters (2003) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area when compared to unanticipated shocks.

Keywords: Anticipated Shocks, Business Cycles, Volatility

JEL classification: E32

 

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