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On the dynamic implications of news shocks
Patrick Fève () and
Julien Matheron ()
Jean-Guillaume Sahuc , 2009, vol. 102, issue 2, pages 96-98
Economics Letters 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)
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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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