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...

The empirical importance of news shocks—anticipated future shocks—in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical...

Recent studies attempt to quantify the empirical importance of news shocks (ie., anticipated future shocks) in business cycle fluctuations. This paper identifies news shocks in a dynamic stochastic general equilibrium model estimated with not only actual data but also forecast data. The...

Even though both symmetric and asymmetric conceptions of news impacts are well-established in the disciplines of economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet been delved into or gauged in any tourist destination....

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...