News Shocks, Information Flows and SVARs
This paper assesses SVARs as relevant tools at identifying the aggregate effects of news shocks. When the econometrician and private agents’ information sets are not aligned, the dynamic responses identified from SVARs are biased. However, the bias vanishes when news shocks account for the bulk of fluctuations in the economy. A simple correlation diagnostic test shows that under this condition, news shocks identified through long–run and short–run restrictions have a correlation close to unity.
|Date of creation:||Mar 2012|
|Date of revision:|
|Publication status:||Published in Annales d'Économie et de Statistique, vol. 113-114, Institut national de la statistique et des études économiques, Paris, juin 2014, p. 293-308.|
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- 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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National Bureau of Economic Research, Inc.
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IDEI Working Papers
158, Institut d'Économie Industrielle (IDEI), Toulouse.
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- Paul Beaudry & Franck Portier, 2006. "Stock Prices, News, and Economic Fluctuations," American Economic Review, American Economic Association, vol. 96(4), pages 1293-1307, September.
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