News Shocks, Information Flows and SVARs

Fève, Patrick and Jidoud, Ahmat (2012) News Shocks, Information Flows and SVARs. TSE Working Paper, n. 12-286

[img]
Preview
Text
Download (181kB) | Preview
Official URL: http://tse-fr.eu/pub/25751

Abstract

This paper assesses SVARs as relevant tools at identifying the aggregate effects of news shocks. When the econometrician and private agents’ information sets are not aligned, the dynamic responses identified from SVARs are biased. However, the bias vanishes when news shocks account for the bulk of fluctuations in the economy. A simple correlation diagnostic test shows that under
this condition, news shocks identified through long–run and short–run restrictions have a correlation close to unity.

Item Type: Monograph (Working Paper)
Language: English
Date: March 2012
Uncontrolled Keywords: Information Flows, News shocks, Non–fundamentalness, SVARs, Identification
JEL codes: C32 - Time-Series Models
C52 - Model Evaluation and Selection
E32 - Business Fluctuations; Cycles
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 09 Jul 2014 17:24
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:25751
URI: http://publications.ut-capitole.fr/id/eprint/15248

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year