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On the dynamic implications of news shocks

  • Fève, Patrick
  • Matheron, Julien
  • Sahuc, Jean-Guillaume

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Paul Beaudry & Franck Portier, 2004. "Stock Prices, News and Economic Fluctuations," NBER Working Papers 10548, National Bureau of Economic Research, Inc.
  2. Nir Jaimovich & Sergio Rebelo, 2007. "News and Business Cycles in Open Economies," NBER Working Papers 13444, National Bureau of Economic Research, Inc.
  3. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
  4. Paul Beaudry & Franck Portier, 2005. "The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data," NBER Working Papers 11496, National Bureau of Economic Research, Inc.
  5. Ippei Fujiwara & Yasuo Hirose & Mototsugu Shintani, 2008. "Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach," Levine's Working Paper Archive 122247000000002352, David K. Levine.
  6. Lucke, Bernd & Haertel, Thomas, 2008. "Do News Shocks Drive Business Cycles? Evidence from German Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2, pages 1-21.
  7. Guo, Shen, 2007. "Optimal Monetary Policy and Expectation Driven Business Cycles," MPRA Paper 1928, University Library of Munich, Germany.
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