期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：We study the e ects of information shocks on macroeconomic and term structure dynamics in an estimated medium-scale DSGE model for the US economy. We consider news about total factor productivity and investment-speci c technology, as well as foresight about monetary policy. Our empirical investigation con rms the ndings of previous studies on the limited role played by productivity news in this class of models. In contrast, we uncover a non-trivial role for investment-speci c news and anticipated monetary policy shocks not only in the historical and variance decomposition of real economic variables but also for the overall dynamic behavior of the term structure of interest rates. We also document substantial qualitative di erences in the dynamic responses of the macroeconomy and the bond yield term structure to anticipated and surprise structural and policy innovations.
关键词：News; Policy Foresight; Term Structure; DSGE Model
