IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00732114.html

Testing the Technology Interpretation of News Shocks

Author

Listed:
  • Bernd Lucke

    (Economics - UHH - Universität Hamburg = University of Hamburg)

Abstract

This paper presents further evidence on the hypothesis of news driven business cycles. I use a structural VECM approach to identify news shocks as in Beaudry and Lucke (2010). I document three facts: First, news shocks identified by BL are Granger-causal for US patent data. Second, BL's analysis applied to German macro data reveals very similar patterns: Activity is largely driven by news and news shocks explain a sizable and increasing share of TFP variance at long horizons. Third, German news shocks are Granger-causal for German patent data and the pattern is, again, very similar to the US. Since patent data in the US and Germany are almost uncorrelated, the similarity is striking and strongly suggests a technology interpretation of news shocks.

Suggested Citation

  • Bernd Lucke, 2011. "Testing the Technology Interpretation of News Shocks," Post-Print hal-00732114, HAL.
    • Handle: RePEc:hal:journl:hal-00732114
    DOI: 10.1080/00036846.2011.566209
    Note: View the original document on HAL open archive server: https://hal.science/hal-00732114v1
    as

    Download full text from publisher

    File URL: https://hal.science/hal-00732114v1/document
    Download Restriction: no
    File URL: https://libkey.io/10.1080/00036846.2011.566209?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jonas D. M. Fisher, 2006. "The Dynamic Effects of Neutral and Investment-Specific Technology Shocks," Journal of Political Economy, University of Chicago Press, vol. 114(3), pages 413-451, June.
    2. Blanchard, Olivier Jean & Kiyotaki, Nobuhiro, 1987. "Monopolistic Competition and the Effects of Aggregate Demand," American Economic Review, American Economic Association, vol. 77(4), pages 647-666, September.
    3. Bagliano, Fabio C. & Favero, Carlo A., 1998. "Measuring monetary policy with VAR models: An evaluation," European Economic Review, Elsevier, vol. 42(6), pages 1069-1112, June.
    4. 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.
    5. 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 655-673, September.
    6. Peretto, Pietro F, 1996. "Sunk Costs, Market Structure, and Growth," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(4), pages 895-923, November.
    7. Nir Jaimovich & Sergio Rebelo, 2009. "Can News about the Future Drive the Business Cycle?," American Economic Review, American Economic Association, vol. 99(4), pages 1097-1118, September.
    8. Beaudry, Paul & Portier, Franck, 2007. "When can changes in expectations cause business cycle fluctuations in neo-classical settings?," Journal of Economic Theory, Elsevier, vol. 135(1), pages 458-477, July.
    9. Hall, B. & Jaffe, A. & Trajtenberg, M., 2001. "The NBER Patent Citations Data File: Lessons, Insights and Methodological Tools," Papers 2001-29, Tel Aviv.
    10. Jason G. Cummins & Giovanni L. Violante, 2002. "Investment-Specific Technical Change in the US (1947-2000): Measurement and Macroeconomic Consequences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(2), pages 243-284, April.
    11. Lucke, Bernd & Haertel, Thomas, 2008. "Do News Shocks Drive Business Cycles? Evidence from German Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-21.
    12. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2004. "The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology," Journal of the European Economic Association, MIT Press, vol. 2(2-3), pages 381-395, 04/05.
    13. Paul Beaudry & Franck Portier, 2006. "Stock Prices, News, and Economic Fluctuations," American Economic Review, American Economic Association, vol. 96(4), pages 1293-1307, September.
    14. Jonas D. M. Fisher, 2002. "Technology shocks matter," Working Paper Series WP-02-14, Federal Reserve Bank of Chicago.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Gangopadhyay, Kausik & Nishimura, Atsushi & Pal, Rupayan, 2016. "Can the information technology revolution explain the incidence of co-movement of skill premium and stock prices?," Economic Modelling, Elsevier, vol. 53(C), pages 107-120.
    3. Seymen, Atılım, 2013. "Sequential identification of technological news shocks," ZEW Discussion Papers 13-111, ZEW - Leibniz Centre for European Economic Research.
    4. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
    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. Görtz, Christoph & Tsoukalas, John, 2011. "News and financial intermediation in aggregate and sectoral fluctuations," MPRA Paper 38986, University Library of Munich, Germany, revised Mar 2012.
    4. Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
    5. Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
    6. Konstantinos Theodoridis & Francesco Zanetti, 2014. "News and labour market dynamics in the data and in matching models," Bank of England working papers 488, Bank of England.
    7. Stefano Eusepi & Bruce Preston, 2009. "Labor Supply Heterogeneity and Macroeconomic Co-movement," NBER Working Papers 15561, National Bureau of Economic Research, Inc.
    8. Yu Ren & Yufei Yuan, 2014. "Why the Housing Sector Leads the Whole Economy: The Importance of Collateral Constraints and News Shocks," The Journal of Real Estate Finance and Economics, Springer, vol. 48(2), pages 323-341, February.
    9. Karnizova Lilia, 2012. "News Shocks, Productivity and the U.S. Investment Boom-Bust Cycle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-50, June.
    10. Samuel Wills, 2012. "Optimal Monetary Responses to Oil Discoveries," Discussion Papers 1408, Centre for Macroeconomics (CFM), revised Apr 2014.
    11. Robert B. Barsky & Susanto Basu & Keyoung Lee, 2015. "Whither News Shocks?," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 225-264.
    12. Rousakis, Michael, "undated". "Expectations and Fluctuations: The Role of Monetary Policy," Economic Research Papers 270655, University of Warwick - Department of Economics.
    13. Dupor, Bill & Mehkari, M. Saif, 2014. "The analytics of technology news shocks," Journal of Economic Theory, Elsevier, vol. 153(C), pages 392-427.
    14. Pengfei Wang, 2012. "Understanding Expectation-Driven Fluctuations: A Labor-Market Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 487-506, March.
    15. Mertens, Elmar, 2010. "Structural shocks and the comovements between output and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1171-1186, June.
    16. Joel Wagner, 2017. "Anticipated Technology Shocks: A Re-Evaluation Using Cointegrated Technologies," Staff Working Papers 17-11, Bank of Canada.
    17. Fan, Haichao & Gao, Xiang & Xu, Juanyi & Xu, Zhiwei, 2016. "News shock, firm dynamics and business cycles: Evidence and theory," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 159-180.
    18. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
    19. Di Bella, Gabriel & Grigoli, Francesco, 2019. "Optimism, pessimism, and short-term fluctuations," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 79-96.
    20. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00732114. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.