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The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data

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Listed author(s):
  • Paul Beaudry
  • Franck Portier

Abstract

This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior 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 U.S., 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 U.S. sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving U.S. TFP growth, namely durable goods, and among them equipment sectors.

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File URL: http://www.nber.org/papers/w11496.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 11496.

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Date of creation: Aug 2005
Publication status: published as Beaudry, Paul and Franck Portier. "The 'News View' Of Economic Fluctuations: Evidence From Aggregate Japanese Data And Sectoral US Data," Journal of the Japanese and International Economies, 2005, v19(4,Dec), 635-652.
Handle: RePEc:nbr:nberwo:11496
Note: EFG
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  • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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  1. 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.
  2. 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.
  3. Paul Beaudry & Franck Portier, 2006. "Stock Prices, News, and Economic Fluctuations," American Economic Review, American Economic Association, vol. 96(4), pages 1293-1307, September.
  4. 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.
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