Stock Prices, News, and Economic Fluctuations: Comment
Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and longrun restrictions.
Volume (Year): 104 (2014)
Issue (Month): 4 (April)
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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.:
- Paul Beaudry & Deokwoo Nam & Jian Wang, 2011.
"Do Mood Swings Drive Business Cycles and is it Rational?,"
NBER Working Papers
17651, National Bureau of Economic Research, Inc.
- Paul Beaudry & Deokwoo Nam & Jian Wang, 2011. "Do mood swings drive business cycles and is it rational?," Globalization and Monetary Policy Institute Working Paper 98, Federal Reserve Bank of Dallas.
- Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.
- Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2014.
"A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks,"
The Review of Economics and Statistics,
MIT Press, vol. 96(4), pages 638-647, October.
- 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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