预测修正作为应对新闻冲击的工具

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2025-04-01 DOI:10.1016/j.jmoneco.2024.103729

Danilo Cascaldi-Garcia

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引用次数: 0

摘要

一旦宏观经济消息传来，经济主体就会更新他们对经济长期基本面的看法。我表明，由专业预测者的前景修正所代表的有关主体预期的信号，传达了足够的信息，以确定预期的未来技术变革或新闻冲击的影响。该方法得益于不依赖于经验技术度量或对共同趋势和技术变革时间的假设。新闻冲击对投资产生强烈的预期效应，而消费平滑的证据较少，这与新闻驱动的商业周期模型与金融摩擦相一致。

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Forecast revisions as instruments for news shocks

Upon arrival of macroeconomic news, agents update their beliefs about the long-run fundamentals of the economy. I show that signals about agents’ expectations, proxied by professional forecasters’ outlook revisions, convey sufficient information to identify the effects of expected future technological changes, or news shocks. The approach benefits from not depending on an empirical technology measure or on assumptions about common trends and the timing of the technological change. News shocks cause a strong anticipation effect in investment, while there is less evidence of consumption smoothing—in line with news-driven business cycle models with financial frictions.

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.