Stock Prices, News, and Economic Fluctuations: Comment
AbstractBeaudry 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.
CitationKurmann, 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
- 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