Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
扩展标准DSGE模型纳入全要素生产率新闻冲击，用贝叶斯方法估计美日数据，发现新闻冲击在美国更重要，且长预测期新闻对名义变量影响更大。
We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a major source of aggregate fluctuations. For this purpose, we extend a standard dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003, 2007) by allowing news shocks on the total factor productivity (TFP), and estimate the model using Bayesian methods. Estimation results on the U.S. and Japanese economies suggest that (i) news shocks play a relatively more important role in the United States than in Japan, (ii) a news shock with a longer forecast horizon has larger effects on nominal variables, and (iii) the overall effect of the TFP on hours worked becomes ambiguous in the presence of news shocks.