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Fève, Patrick
and Guay, Alain
(2019)
Sentiments in SVARs.
The Economic Journal, 129 (618).
pp. 877-896.
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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 Classification: | 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: | 02 Apr 2021 15:57 |
| OAI Identifier: | oai:tse-fr.eu:32120 |
| URI: | https://publications.ut-capitole.fr/id/eprint/25717 |
Available Versions of this Item
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Sentiments in SVARs. (deposited 30 May 2016 10:46)
- Sentiments in SVARs. (deposited 16 May 2018 14:02) [Currently Displayed]
