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The "news view" of economic fluctuations: Evidence from aggregate Japanese data and sectoral US data

  • Beaudry, Paul
  • Portier, Franck

This paper uses aggregate Japanese data and sectoral US data to explore the properties of the joint behaviour of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier (2004b). The main findings are that (i) in both Japan and the US, innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity, and (ii) such stock prices innovations do not affect US sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving US TFP growth, namely durable goods, and among them equipment sectors.

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Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 19 (2005)
Issue (Month): 4 (December)
Pages: 635-652

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Handle: RePEc:eee:jjieco:v:19:y:2005:i:4:p:635-652
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622903

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  1. Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," CEPR Discussion Papers 3844, C.E.P.R. Discussion Papers.
  2. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
  3. Beaudry, Paul & Portier, Franck, 2004. "An exploration into Pigou's theory of cycles," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1183-1216, September.
  4. Hairault, Jean-Olivier & Langot, Francois & Portier, Franck, 1997. "Time to implement and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 109-121, November.
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