Stock prices, news, and economic fluctuations: comment
AbstractBeaudry and Portier (American Economoc Review, 2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed by Beaudry and Portier (2006).
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 2013-08.
Date of creation: 2013
Date of revision:
Other versions of this item:
- Andr? Kurmann & Elmar Mertens, 2014. "Stock Prices, News, and Economic Fluctuations: Comment," American Economic Review, American Economic Association, vol. 104(4), pages 1439-45, April.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
- NEP-ECM-2013-02-16 (Econometrics)
- NEP-FMK-2013-02-16 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2010. "A flexible finite-horizon alternative to long-run restrictions with an application to technology shock," Working Papers 2005-024, Federal Reserve Bank of St. Louis.
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"Do mood swings drive business cycles and is it rational?,"
Globalization and Monetary Policy Institute Working Paper
98, Federal Reserve Bank of Dallas.
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- Paul Beaudry & Franck Portier, 2013.
"News Driven Business Cycles: Insights and Challenges,"
NBER Working Papers
19411, National Bureau of Economic Research, Inc.
- Beaudry, Paul & Portier, Franck, 2013. "News Driven Business Cycles: Insights and Challenges," CEPR Discussion Papers 9624, C.E.P.R. Discussion Papers.
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