News and financial intermediation in aggregate fluctuations

Görtz, C. and Tsoukalas, J. (2017) News and financial intermediation in aggregate fluctuations. Review of Economics and Statistics, 99(3), pp. 514-530. (doi: 10.1162/REST_a_00612)

120664.pdf - Accepted Version



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 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 news shocks to the future growth prospects of the economy to be 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.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Tsoukalas, Professor John
Authors: Görtz, C., and Tsoukalas, J.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Review of Economics and Statistics
Publisher:MIT Press
ISSN (Online):1530-9142
Published Online:08 June 2016
Copyright Holders:Copyright © 2017 MIT Press
First Published:First published in Review of Economics and Statistics 99(3): 514-530
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

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Project CodeAward NoProject NamePrincipal InvestigatorFunder's NameFunder RefLead Dept
658761Where is the news in business cycles? A new approach with novel methodologies.John TsoukalasLeverhulme Trust (LEVERHULME)RPG-2014-255BUS - ECONOMICS