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Abstract

This dissertation investigates the macroeconomic role of information by treating the unexpected component of macroeconomic announcements as a source of well-identified information shocks. Through three complementary empirical studies covering major advanced economies over recent decades, it examines how these surprises shape the formation and revision of agents’ beliefs—specifically business confidence, inflation expectations, and economic uncertainty—and how such revisions propagate to real economic activity. By distinguishing information-driven from sentiment-driven belief changes, the dissertation provides a coherent framework for assessing the persistence and economic relevance of information shocks across multiple domains of macro-finance.

The empirical analysis is organized into three complementary studies covering major advanced economies over the past two decades. The first study develops novel surprise-based indicators—the Business Confidence Surprise Index (BCSI ) and the Industrial Production Surprise Index (IPSI ) — designed to isolate the unanticipated component of macroeconomic news. Using a large cross-country panel, the study shows that these surprise shocks have statistically and economically significant effects on both business confidence and industrial production. Importantly, the effects are persistent rather than transitory and exhibit strong state dependence: the responsiveness of real activity to news is substantially amplified during periods of economic stress, low confidence, or heightened uncertainty. These findings provide robust empirical support for the “news view” of business-cycle fluctuations, according to which agents update expectations in response to new information about fundamentals, rather than purely sentiment-driven dynamics.

The second study extends the analysis to inflation expectations, examining how macroeconomic announcement surprises influence market-based expectations across different maturities in the United States, the United Kingdom, and the euro area. The results indicate that macroeconomic news has its strongest impact on short-term expectations, with effects gradually attenuating at longer horizons. However, the sensitivity of expectations is highly time-varying and state-dependent, increasing markedly during periods of macroeconomic instability or unconventional monetary policy. Significant cross-country heterogeneity also emerges, reflecting differences in institutional frameworks, financial market structures, and central bank communication strategies. These findings highlight that the anchoring of inflation expectations is not static, but evolves with the informational environment and policy regime, with important implications for the credibility and effectiveness of monetary policy.

The third study focuses on the measurement and real effects of economic uncertainty by introducing a new indicator—the Macroeconomic News Announcement Uncertainty Index (MNAUI )—which captures the component of uncertainty directly linked to unanticipated macroeconomic information. The analysis demonstrates that uncertainty shocks grounded in fundamental information have substantially larger and more persistent contractionary effects on real activity than alternative uncertainty measures. This result underscores the importance of distinguishing between different sources of
uncertainty: while narrative- or sentiment-based uncertainty may generate short-lived fluctuations, uncertainty driven by genuine information about fundamentals plays a more central role in shaping macroeconomic outcomes. The findings also provide evidence of amplification mechanisms, whereby information-driven uncertainty intensifies the real effects of other types of shocks.

Taken together, the three studies offer a unified perspective on the macroeconomic importance of information. They show that unanticipated macroeconomic news systematically affects expectations, confidence, and uncertainty, generating persistent and state-dependent effects on real economic activity. Moreover, the results emphasize that not all information arrivals are equally informative: only shocks that convey genuinely new information about economic fundamentals produce sustained behavioral and macroeconomic responses.

Overall, the dissertation contributes to the literatures on expectation formation, macro-finance, monetary economics, and uncertainty by developing new empirical tools (the three indices: BCSI, IPSI and MNAUI ) based on macroeconomic announcement surprises and applying them across different contexts. The findings underscore the central role of the informational environment in shaping macroeconomic dynamics and highlight the importance of timely, credible, and transparent communication by policymakers. In this perspective, the management of information emerges not merely as a complement to traditional policy instruments, but as a key determinant of their effectiveness in influencing expectations and stabilizing economic activity.

Publication Type:	Thesis (Doctoral)
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Bayes Business School Doctoral Theses Bayes Business School > Faculty of Finance Doctoral Theses

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