On the dynamic implications of news shocks

Patrick Fève, Julien Matheron () and Jean-Guillaume Sahuc ()

Economics Letters, 2009, vol. 102, issue 2, pages 96-98

Abstract: This paper assesses the time series properties of rational expectations models with news shocks. We show that news shocks allows to substantially improve the dynamic behavior of such models in generating higher persistence. We also warn the use of SVAR models to uncover news shocks.

Keywords: Rational; expectations; News; shocks; Persistence (search for similar items in EconPapers)
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:102:y:2009:i:2:p:96-98

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