This paper exploits information from the term structure of survey expectations to identify news shocks in a a DSGE model with rational expectations. We estimate a structural business-cycle model with price and wage stickiness. We allow for both unanticipated and anticipated components ("news") in each structural disturbance: neutral and investment-specific technology shocks, government spending shocks, risk premium, price and wage markup shocks, and monetary policy shocks. We show that the estimation of a standard DSGE model with realized data obfuscates the identification of news shocks and yields weakly or non-identified parameters pertaining to such shocks. The identification of news shocks greatly improves when we re-estimate the model using data on observed expectations regarding future output, consumption, investment, government spending, inflation, and interest rates - at horizons ranging from one-period to five-periods ahead. The news series thus obtained largely differ from their counterparts that are estimated using only data on realized variables. Moreover, the results suggest that the identified news shocks explain a sizable portion of aggregate fluctuations. News about investment-specific technology and risk premium shocks play the largest role, followed by news about labor supply (wage markup) and monetary policy.

中文翻译：

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观察到的预期、新闻冲击和商业周期

本文利用调查预期期限结构中的信息来识别具有理性预期的 DSGE 模型中的新闻冲击。我们估计具有价格和工资粘性的结构性商业周期模型。我们考虑到每个结构性干扰中的意外和预期成分（“新闻”）：中性和特定于投资的技术冲击、政府支出冲击、风险溢价、价格和工资加价冲击以及货币政策冲击。我们表明，使用已实现的数据对标准 DSGE 模型的估计会混淆新闻冲击的识别，并产生与此类冲击有关的微弱或未识别的参数。当我们使用关于未来产出、消费、投资、政府支出、通货膨胀和利率——未来一个时期到五个时期不等。由此获得的新闻系列与仅使用已实现变量的数据估计的新闻系列大不相同。此外，结果表明，确定的新闻冲击解释了总体波动的很大一部分。有关特定投资技术和风险溢价冲击的消息发挥了最大的作用，其次是有关劳动力供应（工资加价）和货币政策的消息。