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Forecast Revisions as Instruments for News Shocks
Cascaldi-Garcia, Danilo - 2022
major advantage of this approach from the existing news shock literature is that it does not depend on an empirical measure …
Persistent link: https://www.econbiz.de/10013291549
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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
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Forecasting Macroeconomic Risk in Real Time : Great and Covid-19 Recessions
De Santis, Roberto A. - 2020
additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock …
Persistent link: https://www.econbiz.de/10012829414
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News shocks : different effects in boom and recession?
Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019
This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...
Persistent link: https://www.econbiz.de/10011967392
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News-driven uncertainty fluctuations
Song, Dongho; Tang, Jenny - 2018 - This version: January 2018
We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our …
Persistent link: https://www.econbiz.de/10011894302
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Identifying News Shocks with Forecast Data
Hirose, Yasuo - 2020
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...
Persistent link: https://www.econbiz.de/10012847203
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Identifying News Shocks with Forecast Data
Hirose, Yasuo; Kurozumi, Takushi - 2012
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...
Persistent link: https://www.econbiz.de/10014173436
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Real-time Recession Probability with Hidden Markov Model and Unemployment Momentum
Lihn, Stephen H.T. - 2019
jubilee and ldhmm packages in R. The input data is the unemployment rate (UNRATE) which is released monthly by the U … generates the recession probability. Our model demonstrates that positive momentum in unemployment kicks off a recession. The …
Persistent link: https://www.econbiz.de/10012864839
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore …
Persistent link: https://www.econbiz.de/10011350384
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Forecasting Unemployment Rates with International Factors
Pincheira, Pablo M. - 2020
In this paper we study international linkages when forecasting unemployment rates in a sample of 24 OECD economies. We … propose a Global Unemployment Factor (GUF) and test its predictive ability considering in-sample and out-of-sample exercises … information to predict domestic unemployment rates, at least for these last seven countries …
Persistent link: https://www.econbiz.de/10012845239