The Quantitative Importance of News Shocks in Estimated DSGE Models

Material TypeArticleLanguageEnglish
TitleThe Quantitative Importance of News Shocks in Estimated DSGE Models Author(S)HASHMAT KHAN (Author)
Abstract  We estimate a dynamic stochastic general equilibrium (DSGE) model with several frictions and both unanticipated and news shocks, using quarterly U.S. data from 1954 to 2004 and Bayesian methods. We find that unanticipated shocks dominate news shocks in accounting for the unconditional variance of output, consumption, and investment growth, interest rate, and the relative price of investment. The unanticipated shock to the marginal efficiency of investment is the dominant shock ...Paginationp1535–1561
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Money, Credit, and Banking  
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