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Are asset price data informative about news shocks? A DSGE perspective

2018-03Working paper Open access
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dc.contributor.authorIskrev, Nikolay
dc.date.accessioned2018-10-01T09:23:30Z
dc.date.available2018-10-01T09:23:30Z
dc.date.issued2018-03
dc.description.abstractStandard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to formally evaluate the information content of observed variables with respect to unobserved shocks in structural macroeconomic models. The proposed methodology is applied to two different real business cycle models with news shocks. The contribution of asset prices is found to be relatively small. The methodology is general and can be used to measure the informational importance of observables with respect to latent variables in DSGE models. Thus, it provides a framework for systematic treatment of such issues, which are usually discussed in an informal manner in the literature.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationIskrev, Nikolay (2018). "Are asset price data informative about news shocks? A DSGE perspective". Instituto Superior de Economia e Gestão – REM Working papers nº 033 - 2018pt_PT
dc.identifier.issn2184-108X
dc.identifier.urihttp://hdl.handle.net/10400.5/16014
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherISEG - REM - Research in Economics and Mathematicspt_PT
dc.relation.ispartofseriesREM Working papers;nº 033 - 2018
dc.relation.publisherversionhttps://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_033_2018.pdfpt_PT
dc.subjectDSGE modelspt_PT
dc.subjectNews Shockspt_PT
dc.subjectAsset pricespt_PT
dc.subjectInformationpt_PT
dc.subjectIdentificationpt_PT
dc.titleAre asset price data informative about news shocks? A DSGE perspectivept_PT
dc.typeworking paper
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typeworkingPaperpt_PT

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