Replication data for: Stock Prices, News, and Economic Fluctuations: Comment
Principal Investigator(s): View help for Principal Investigator(s) André Kurmann; Elmar Mertens
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| 20130009_replicationfiles | 10/11/2019 10:04:PM | ||
|
|
text/plain | 14.6 KB | 10/11/2019 06:04:PM |
Project Citation:
Kurmann, André, and Mertens, Elmar. Replication data for: Stock Prices, News, and Economic Fluctuations: Comment. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112761V1
Project Description
Summary:
View help for Summary
Beaudry and Portier (2006) propose an identification scheme to
study the effects of news shocks about future productivity in vector
error correction models (VECMs). This comment shows that, when
applied to their VECMs with more than two variables, the identification
scheme does not have a unique solution. The problem arises
from a particular interplay of cointegration assumptions and longrun
restrictions.
Scope of Project
JEL Classification:
View help for JEL Classification
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.