Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/232591 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Sveriges Riksbank Working Paper Series No. 388
Verlag: 
Sveriges Riksbank, Stockholm
Zusammenfassung: 
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter the TFP measure and change the model specification, we can recover the news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on economic activity. Our findings are in line with studies that identify news shocks without relying on VEC models.
Schlagwörter: 
cointegration
technology news shocks
stock prices
TFP
VEC model
SVAR
JEL: 
C32
G12
E32
E44
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.72 MB





Publikationen in EconStor sind urheberrechtlich geschützt.