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News Shocks, Information Flows and SVARs

Listed author(s):
  • Patrick Feve
  • Ahmat Jidoud

This paper assesses SVARs as relevant tools at identifying the dynamic effects or news shocks, Because of the misalignment between the econometrician and private agents' information sets resulting from foresight the dynamic responses identified from SVARs using either long-run and short-run restrictions are biased. However the bias vanishes when news shocks account for the bulk of fluctuations in the economy. Furthermore under this condition. he two identified shocks have a correlation close to unity validating the sequential identification approach adopted by BEAUDRY and PORTIER (2006)

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File URL: http://www.jstor.org/stable/10.15609/annaeconstat2009.113-114.293
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Article provided by GENES in its journal Annals Of Economics and Statistics.

Volume (Year): (2014)
Issue (Month): 113-114 ()
Pages: 293-307

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Handle: RePEc:adr:anecst:y:2014:i:113-114:p:293-307
DOI: 10.15609/annaeconstat2009.113-114.293
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  1. Paul Beaudry & Franck Portier, 2006. "Stock Prices, News, and Economic Fluctuations," American Economic Review, American Economic Association, vol. 96(4), pages 1293-1307, September.
  2. Paul Beaudry & Bernd Lucke, 2010. "Letting Different Views about Business Cycles Compete," NBER Chapters,in: NBER Macroeconomics Annual 2009, Volume 24, pages 413-455 National Bureau of Economic Research, Inc.
  3. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009. "On the dynamic implications of news shocks," Economics Letters, Elsevier, vol. 102(2), pages 96-98, February.
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