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Do News Shocks Drive Business Cycles? Evidence from German Data

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Author Info
Lucke, Bernd
Haertel, Thomas

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Abstract

We study the Beaudry and Portier (2006)-hypothesis of delayed-technology diffusion and news-driven business cycles. For German data on TFP and stock prices we find qualitatively similar empirical evidence. Quantitatively, however, an impulse response analysis suggests that a substantial part of the total TFP response is immediate rather than delayed. We relate this to disembodied technological change and noisy data on TFP. Nevertheless, we confirm the technology interpretation of structural shocks by showing that they are Granger-causal for data on patents granted by the German patent agency. We also show that these shocks generate comovement of macro variables at business cycle horizons and account for a sizable share of the forecast error variance of these variables in the medium and long run. --

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Publisher Info
Article provided by Kiel Institute for the World Economy in its journal Economics: The Open-Access, Open-Assessment E-Journal.

Volume (Year): 2 (2008)
Issue (Month): 10 ()
Pages: 1-21
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Handle: RePEc:zbw:ifweej:7127

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Related research
Keywords: News; business cycles; TFP; structural VAR;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

Cited by:
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  1. Markku Lanne & Helmut Luetkepohl, 2008. "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," Economics Working Papers ECO2008/29, European University Institute. [Downloadable!]
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This page was last updated on 2009-12-2.


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