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

  • Paul Beaudry
  • Franck Portier

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
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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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  1. Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," CEPR Discussion Papers 3844, C.E.P.R. Discussion Papers.
  2. 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.
  3. Hairault, Jean-Olivier & Langot, François & Portier, Franck, 1996. "Time to implement and aggregate fluctuations," CEPREMAP Working Papers (Couverture Orange) 9606, CEPREMAP.
  4. 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.
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