This website uses cookies.

By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device to enhance site navigation and analyze site performance and traffic. For more information on our use of cookies, please see our Privacy Policy.

  1. Home
  2. Journals
  3. American Economic Review
  4. April 2014
  5. Stock Prices, News, and Economic Fluctuations: Comment

Stock Prices, News, and Economic Fluctuations: Comment

  • André Kurmann
  • Elmar Mertens
American Economic Review
vol. 104, no. 4, April 2014
(pp. 1439-45)
Download Full Text PDF

Abstract

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.

Citation

Kurmann, André, and Elmar Mertens. 2014. "Stock Prices, News, and Economic Fluctuations: Comment." American Economic Review, 104 (4): 1439-45. DOI: 10.1257/aer.104.4.1439

Additional Materials

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