Sentiments in SVARs

Fève, Patrick and Guay, Alain (2019) Sentiments in SVARs. The Economic Journal, 129 (618). pp. 877-896.

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Official URL: http://tse-fr.eu/pub/32120

Abstract

This paper investigates the contribution of sentiments shocks to US fluctuations in a Structural VAR setup with long, medium and short run restrictions. Sentiments shocks are identified as shocks orthogonal to fundamentals that accounts for most of the variance of confidence. We assess our identification procedure from simulation experiments and show that it performs pretty well. From actual data, we obtain that, contrary to news shocks on total factor productivity, sentiments shocks explain very little of quantities and prices. Sentiments shocks mostly appear as an idiosyncratic component of confidence. These results are robust to various perturbations of the benchmark model.

Item Type: Article
Language: English
Date: February 2019
Refereed: Yes
Uncontrolled Keywords: Sentiment Shocks, News Shocks, SVARs, Identifying Restrictions
JEL codes: C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 16 May 2018 14:02
Last Modified: 23 May 2019 12:36
OAI ID: oai:tse-fr.eu:32120
URI: http://publications.ut-capitole.fr/id/eprint/25717

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