Jonathan Adams
@jonathanjadams.com
Macroeconomist studying expectations and information.
KC Fed (views are my own)
Research: www.jonathanjadams.com
KC Fed (views are my own)
Research: www.jonathanjadams.com
Finding: *all shocks* are mostly news.
Even the most surprise-like shocks are <50% due to immediate policy changes. Here’s the Aruoba-Drechsel narrative shock:
Even the most surprise-like shocks are <50% due to immediate policy changes. Here’s the Aruoba-Drechsel narrative shock:
July 9, 2025 at 12:34 PM
Finding: *all shocks* are mostly news.
Even the most surprise-like shocks are <50% due to immediate policy changes. Here’s the Aruoba-Drechsel narrative shock:
Even the most surprise-like shocks are <50% due to immediate policy changes. Here’s the Aruoba-Drechsel narrative shock:
Application #1: We estimate the term structures of popular EMPS in the literature.
E.g. here is the term structure for Swanson’s forward guidance shock. Nearly all the information is news about future policy.
E.g. here is the term structure for Swanson’s forward guidance shock. Nearly all the information is news about future policy.
July 9, 2025 at 12:34 PM
Application #1: We estimate the term structures of popular EMPS in the literature.
E.g. here is the term structure for Swanson’s forward guidance shock. Nearly all the information is news about future policy.
E.g. here is the term structure for Swanson’s forward guidance shock. Nearly all the information is news about future policy.
Important: surprise shocks have different effects from news shocks at every news horizon.
Here’s how they affect prices in the New Keynesian model:
Here’s how they affect prices in the New Keynesian model:
July 9, 2025 at 12:34 PM
Important: surprise shocks have different effects from news shocks at every news horizon.
Here’s how they affect prices in the New Keynesian model:
Here’s how they affect prices in the New Keynesian model:
Philip Barrett @phibar.bsky.social and I address this question in a new working paper.
In it, we propose a method to extract the news that EMPS contain about future policy, and apply the method to many shocks from the literature. There is a lot to learn!
In it, we propose a method to extract the news that EMPS contain about future policy, and apply the method to many shocks from the literature. There is a lot to learn!
July 9, 2025 at 12:34 PM
Philip Barrett @phibar.bsky.social and I address this question in a new working paper.
In it, we propose a method to extract the news that EMPS contain about future policy, and apply the method to many shocks from the literature. There is a lot to learn!
In it, we propose a method to extract the news that EMPS contain about future policy, and apply the method to many shocks from the literature. There is a lot to learn!