News Shocks, Information Flows and SVARs

Fève, Patrick and Jidoud, Ahmat (2014) News Shocks, Information Flows and SVARs. Annales d'Économie et de Statistique, 113-114. pp. 293-308.

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Official URL: http://tse-fr.eu/pub/26638

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: Article
Language: English
Date: June 2014
Refereed: Yes
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: 16 Mar 2015 14:32
Last Modified: 07 Mar 2018 13:23
OAI ID: oai:tse-fr.eu:26638
URI: http://publications.ut-capitole.fr/id/eprint/16460

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  • News Shocks, Information Flows and SVARs. (deposited 16 Mar 2015 14:32) [Currently Displayed]

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