Winkler, Roland C.; Wohltmann, Hans-Werner - In: Economics Letters 114 (2012) 3, pp. 256-258
This paper shows that news shocks amplify macroeconomic volatility in any purely forward-looking model, whereas results are ambiguous when including a backward-looking component. We also investigate numerically the volatility effects of news shocks within the Smets and Wouters (2003) model.