Tools
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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 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: | 16 Mar 2015 14:32 |
| Last Modified: | 14 Jan 2026 14:23 |
| OAI Identifier: | oai:tse-fr.eu:26638 |
| URI: | https://publications.ut-capitole.fr/id/eprint/16460 |
Available Versions of this Item
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News Shocks, Information Flows and SVARs. (deposited 09 Jul 2014 17:24)
- News Shocks, Information Flows and SVARs. (deposited 16 Mar 2015 14:32) [Currently Displayed]
