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On the dynamic implications of news shocks

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Author Info
Fève, Patrick
Matheron, Julien
Sahuc, Jean-Guillaume

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Abstract

This paper assesses the time series properties of rational expectations models with news shocks. We show that news shocks allows to substantially improve the dynamic behavior of such models in generating higher persistence. We also warn the use of SVAR models to uncover news shocks.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4V2NNX1-1/2/895d0116c80d87d17005a5998f8d895f
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 102 (2009)
Issue (Month): 2 (February)
Pages: 96-98
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Handle: RePEc:eee:ecolet:v:102:y:2009:i:2:p:96-98

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Web page: http://www.elsevier.com/locate/ecolet

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Related research
Keywords: Rational expectations News shocks Persistence;

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This page was last updated on 2009-12-12.

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