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Forecast revisions as instruments for news shocks

Cascaldi-Garcia, Danilo - 2022

Persistent link: https://www.econbiz.de/10013267980

Identifying News Shocks with Forecast Data

Hirose, Yasuo - 2020

by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast … empirical evidence that technology news shocks are a major source of fluctuations in U.S. output growth. Exploiting the forecast …

Persistent link: https://www.econbiz.de/10012847203

Identifying News Shocks with Forecast Data

Hirose, Yasuo; Kurozumi, Takushi - 2012

only actual data but also forecast data. The estimation results show new empirical evidence that anticipated future … technology shocks are the most important driving force of U.S. business cycles. The use of the forecast data makes the …

Persistent link: https://www.econbiz.de/10014173436

Identifying News Shocks from Forecasts

Adams, Jonathan - 2023

shock and to further decompose each one into "news" and "surprise" shocks. We estimate a VAR on US time series using … forecast data from the SPF, CBO, Federal Reserve, and asset prices. Unanticipated fiscal stimulus and interest rate shocks we …

Persistent link: https://www.econbiz.de/10015059043

Forecasting stock volatility using time-distance weighting fundamental’s shocks

Mei, Xueting; Wang, Xinyu - In: Finance research letters 65 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014564298

Comparing the New Keynesian Phillips Curve with time series models to forecast inflation

Rumler, Fabio; Valderrama, María Teresa - 2008

Persistent link: https://www.econbiz.de/10003776275

Comparing the New Keynesian Phillips Curve with time series models to forecast inflation

Rumler, Fabio; Valderrama, María Teresa - In: The North American journal of economics and finance : a … 21 (2010) 2, pp. 126-144

Persistent link: https://www.econbiz.de/10009267847

Measuring output gap nowcast uncertainty

Garratt, Anthony; Mitchell, James; Vahey, Shaun P. - In: International journal of forecasting 30 (2014) 2, pp. 268-279

Persistent link: https://www.econbiz.de/10010510911

News and uncertainty shocks

Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...

Persistent link: https://www.econbiz.de/10011967370

Individual inflation forecasts and monetary policy announcements

Haan, Jakob de; Mavromatis, Kostas; Tan, Garyn - In: Economics letters 197 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012511068

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