Information rigidities and the news-adjusted output gap
A vector-autoregressive model of actual output and expected output obtained from surveys is used to test for information rigidities and to provide a characterisation of output dynamics that accommodates these information structures. News on actual and expected outputs is decomposed to identify innov...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Elsevier
2016
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/34789/ |
| _version_ | 1848794935181967360 |
|---|---|
| author | Garratt, Anthony Lee, Kevin Shields, Kalvinder |
| author_facet | Garratt, Anthony Lee, Kevin Shields, Kalvinder |
| author_sort | Garratt, Anthony |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | A vector-autoregressive model of actual output and expected output obtained from surveys is used to test for information rigidities and to provide a characterisation of output dynamics that accommodates these information structures. News on actual and expected outputs is decomposed to identify innovations understood to have short-lived effects and these are used with the model to derive a ‘news-adjusted output gap׳ measure. The approach is applied to US data over 1970q1–2014q2 and the new gap measure is shown to provide a good leading indicator of inflation. |
| first_indexed | 2025-11-14T19:24:05Z |
| format | Article |
| id | nottingham-34789 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:24:05Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-347892020-05-04T20:01:06Z https://eprints.nottingham.ac.uk/34789/ Information rigidities and the news-adjusted output gap Garratt, Anthony Lee, Kevin Shields, Kalvinder A vector-autoregressive model of actual output and expected output obtained from surveys is used to test for information rigidities and to provide a characterisation of output dynamics that accommodates these information structures. News on actual and expected outputs is decomposed to identify innovations understood to have short-lived effects and these are used with the model to derive a ‘news-adjusted output gap׳ measure. The approach is applied to US data over 1970q1–2014q2 and the new gap measure is shown to provide a good leading indicator of inflation. Elsevier 2016-09 Article PeerReviewed Garratt, Anthony, Lee, Kevin and Shields, Kalvinder (2016) Information rigidities and the news-adjusted output gap. Journal of Economic Dynamics and Control, 70 . pp. 1-17. ISSN 01651889 Information rigidities; Survey-based expectations; Output gap http://www.sciencedirect.com/science/article/pii/S0165188916301038 doi:10.1016/j.jedc.2016.06.004 doi:10.1016/j.jedc.2016.06.004 |
| spellingShingle | Information rigidities; Survey-based expectations; Output gap Garratt, Anthony Lee, Kevin Shields, Kalvinder Information rigidities and the news-adjusted output gap |
| title | Information rigidities and the news-adjusted output gap |
| title_full | Information rigidities and the news-adjusted output gap |
| title_fullStr | Information rigidities and the news-adjusted output gap |
| title_full_unstemmed | Information rigidities and the news-adjusted output gap |
| title_short | Information rigidities and the news-adjusted output gap |
| title_sort | information rigidities and the news-adjusted output gap |
| topic | Information rigidities; Survey-based expectations; Output gap |
| url | https://eprints.nottingham.ac.uk/34789/ https://eprints.nottingham.ac.uk/34789/ https://eprints.nottingham.ac.uk/34789/ |