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Fève, Patrick
and Jidoud, Ahmat
(2012)
News Shocks, Information Flows and SVARs.
TSE Working Paper, n. 12-286
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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 Classification: | 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: | 02 Apr 2021 15:47 |
| OAI Identifier: | oai:tse-fr.eu:25751 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15248 |
