Title: News and uncertainty shocks
Authors: Danilo Cascaldi-Garcia - Federal Reserve Board (United States) [presenting]
Ana Galvao - University of Warwick (United Kingdom)
Abstract: Novel empirical evidence linking the effects of technology news shocks with uncertainty shocks is provided. Their observed linkage implies that when financial uncertainty shocks hit the economy, utilization-adjusted total factor productivity increases over the medium term. This leads to an attenuation of the effects on economic activity from technology news shocks in the short term and from uncertainty shocks in the medium term. Supported by these results, we propose an identification strategy to measure the effects of `good uncertainty' shocks and disentangle the importance of technological news, good and bad uncertainties, and ambiguity shocks in explaining business cycle variation.