News And Policy Foresight In A Macro-finance Model Of The US

The authors study the effects of information shocks on macroeconomic and term structure dynamics in an estimated medium-scale DSGE model for the US economy. They consider news about total factor productivity and investment-specific technology, as well as foresight about monetary policy. The empirical investigation confirms the findings of previous studies on the limited role played by productivity news in this class of models. In contrast, they uncover a non-trivial role for investment-specific news and anticipated monetary policy shocks not only in the historical and variance decomposition of real economic variables but also for the overall dynamic behavior of the term structure of interest rates.

Provided by: European Central Bank Topic: Data Management Date Added: Mar 2011 Format: PDF

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