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Title:Do News Shocks Drive Business Cycles? Evidence from German Data PDF Logo
Authors:Lucke, Bernd
Haertel, Thomas
Issue Date:2008
Citation:[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 2 [Issue:] 2008-10 [Pages:] 1-21 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2008-10
Abstract:We study the Beaudry and Portier (2006)-hypothesis of delayed-technology diffusion and news-driven business cycles. For German data on TFP and stock prices we find qualitatively similar empirical evidence. Quantitatively, however, an impulse response analysis suggests that a substantial part of the total TFP response is immediate rather than delayed. We relate this to disembodied technological change and noisy data on TFP. Nevertheless, we confirm the technology interpretation of structural shocks by showing that they are Granger-causal for data on patents granted by the German patent agency. We also show that these shocks generate comovement of macro variables at business cycle horizons and account for a sizable share of the forecast error variance of these variables in the medium and long run.
Subjects:News
business cycles
TFP
structural VAR
JEL:E32
Persistent Identifier of the first edition:doi:10.5018/economics-ejournal.ja.2008-10
Creative Commons License:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Article
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles

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