Garratt, Anthony, Lee, Kevin and Shields, Kalvinder K. (2016) Information rigidities and the news-adjusted output gap. Journal of Economic Dynamics and Control, 70 . pp. 1-17. doi:10.1016/j.jedc.2016.06.004 ISSN 0165-1889.

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Abstract

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 e ects 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 in ation.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Economic forecasting, Monetary policy--Mathematical models
Journal or Publication Title:	Journal of Economic Dynamics and Control
Publisher:	Elsevier BV
ISSN:	0165-1889
Official Date:	September 2016
Dates:	Date Event September 2016 Published 23 June 2016 Available 15 June 2016 Accepted
Volume:	70
Page Range:	pp. 1-17
DOI:	10.1016/j.jedc.2016.06.004
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Date of first compliant deposit:	17 June 2016
Date of first compliant Open Access:	23 June 2017

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