American Economic Review: Vol. 104 No. 4 (April 2014)

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Stock Prices, News, and Economic Fluctuations: Comment

Article 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

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.

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Online Appendix (93.88 KB) | Download Data Set (585.65 KB) | Author Disclosure Statement(s) (92.09 KB)

Authors

Kurmann, André (Drexel U)
Mertens, Elmar (Federal Reserve Board)

JEL Classifications

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


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