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Published online by Cambridge University Press:  10 September 2019

Yasuo Hirose*
Keio University
Takushi Kurozumi
Bank of Japan
Address correspondence to: Yasuo Hirose, Faculty of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108-8345, Japan. e-mail:


The empirical importance of news shocks—anticipated future shocks—in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical dynamic stochastic general equilibrium model. The estimated model shows new empirical evidence that technology news shocks are a major source of fluctuations in US output growth. Exploiting the forecast data not only generates more precise estimates of news shocks and other parameters in the model, but also increases the contribution of technology news shocks to the fluctuations.

© Cambridge University Press 2019

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The authors are grateful for comments and discussions to Klaus Adam, Kosuke Aoki, William Barnett (the editor), Paul Beaudry, Francesco Bianchi, Ryan Chahrour, Hess Chung, Nicolas Crouzet, Richard Dennis, Taeyoung Doh, Ippei Fujiwara, Christopher Gust, Craig Hakkio, William Hawkins, Timo Henckel, Hirokazu Ishise, Jan Jacobs, Jinill Kim, Edward Knotek, Andre Kurmann, Kevin Lansing, Thomas Lubik, Fabio Milani, Toshihiko Mukoyama, Masao Ogaki, Jordan Rappaport, Hiroatsu Tanaka, Kozo Ueda, Shaun Vahey, Willem Van Zandweghe, Robert Vigfusson, Todd Walker, John Williams, Tomoaki Yamada, colleagues at the Bank of Japan, an anonymous associate editor, and two anonymous referees, as well as participants at International Conference on Computing in Economics and Finance, Annual Conference of the Royal Economic Society, Conference on Expectations in Dynamic Macroeconomic Models hosted by the Federal Reserve Bank of San Francisco, Dynare Conference, Hitotsubashi University International Conference on Frontiers in Macroeconometrics, and seminars at Australian National University, Hosei University, Keio University, Kobe University, Meiji University, the Federal Reserve Board, the Federal Reserve Bank of Kansas City, and the Bank of Japan. The views expressed herein are those of the authors and do not necessarily reflect the official views of the Bank of Japan.



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