News-Driven Uncertainty Fluctuations*

We investigate the channels through which news influences the subjective beliefs of economic agents, with a particular focus on their subjective uncertainty. The main insight of the paper is that news that is more at odds with agents’ prior beliefs generates an increase in uncertainty; news that is more consistent with their prior beliefs generates a decrease in uncertainty. We illustrate this insight theoretically and then estimate the model empirically using data on US output and professional forecasts to provide novel measures of news shocks and uncertainty. We then estimate impulse responses from the identified shocks to show that news shocks can affect macroeconomic variables in ways that resemble the effects of uncertainty shocks. Our results suggest that controlling for news can potentially diminish the estimated effects of uncertainty shocks on real variables, particularly at longer horizons.

本研究探讨了新闻影响经济主体（economic agents）主观信念的传导路径，并特别聚焦于其主观不确定性（subjective uncertainty）。本文的核心研究结论为：与经济主体先验信念（prior beliefs）相悖程度更高的新闻会提升不确定性，而与先验信念契合度更高的新闻则会降低不确定性。我们先从理论层面阐释这一核心结论，随后基于美国产出与专业预测数据对模型开展实证估计，以此构建新闻冲击（news shocks）与不确定性的全新测度指标。继而通过已识别的冲击估计脉冲响应（impulse responses），证明新闻冲击可通过类似不确定性冲击（uncertainty shocks）的作用路径影响宏观经济变量（macroeconomic variables）。研究结果表明，纳入新闻变量进行控制后，不确定性冲击对实际经济变量的估计效应可能会有所减弱，尤其在较长期限下这一效果更为显著。