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Title:News and sectoral comovement PDF Logo
Authors:Lamla, Michael J.
Lein, Sarah M.
Sturm, Jan-Egbert
Issue Date:2007
Series/Report no.:KOF working papers // Konjunkturforschungsstelle, Eidgenössische Technische Hochschule Zürich 183
Abstract:This paper tests the existence of strategic information complementarities as a source of sectoral comovement. A theoretical model derived in Veldkamp and Wolfers (2007) explains sectoral comovement by the assumption that firms rely too much on aggregate information to make output decisions. We find empirical support for this hypothesis: news on aggregate developments, on average, affect firm's production plans significantly more than news on sector-specific developments. This result is based on a rich dataset on firm survey and media releases for Germany comprising 01/1999-07/2006.
Subjects:Media reporting
news
expectation driven business cycles
information complementarities
sectoral comovement
JEL:E32
D82
Persistent Identifier of the first edition:doi:10.3929/ethz-a-005502910
Document Type:Working Paper
Appears in Collections:KOF Working Papers, KOF Konjunkturforschungsstelle, ETH Zürich

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