Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/224155 
Year of Publication: 
2019
Series/Report no.: 
Working Paper No. 19.02
Publisher: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Abstract: 
This paper addresses the lack of consensus in the empirical literature regarding the effects of technological diffusion news shocks. We attribute the conflicting evidence to the wide diversity in terms of variable settings, productivity series used and identification schemes applied. We analyze the different identification schemes that have been employed in this literature. More specifically, we impose short- and medium-run restrictions to identify a news shock. The focus is on the medium- run identification maximizing at and over different horizons. We show that the identified news shock depends critically on the applied identification scheme and on the maximization horizon. We also investigate the importance of the information content of the model and of the productivity measure used. We find that models which either contain a large set of macroeconomic variables or include variables that are strongly forward looking deliver more robust results. Moreover, we show that the productivity series used may influence results, but there is convergence of findings for newer total factor productivity series vintages. Our conclusion is that news shocks have expansionary properties.
Subjects: 
productivity shock
news shock
structural vector autoregressive model
fundamentalness testing
JEL: 
E32
E23
Document Type: 
Working Paper

Files in This Item:
File
Size
463.82 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.