Do News Shocks Drive Business Cycles? Evidence from German Data

Bernd Lucke () and Thomas Haertel

Economics - The Open-Access, Open-Assessment E-Journal, 2008, vol. 2, issue 10, pages 1-21

Abstract: We study the Beaudry and Portier (2006)-hypothesis of delayed-technology diffusion and news-driven business cycles. For German data on TFP and stock prices we find qualitatively similar empirical evidence. Quantitatively, however, an impulse response analysis suggests that a substantial part of the total TFP response is immediate rather than delayed. We relate this to disembodied technological change and noisy data on TFP. Nevertheless, we confirm the technology interpretation of structural shocks by showing that they are Granger-causal for data on patents granted by the German patent agency. We also show that these shocks generate comovement of macro variables at business cycle horizons and account for a sizable share of the forecast error variance of these variables in the medium and long run.

Keywords: News; business cycles; TFP; structural VAR (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Date: 2008
View citations in EconPapers

Downloads: (external link)
http://www.economics-ejournal.org/economics/journalarticles/2008-10 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:zbw:ifweej:7127

Access Statistics for this article

Economics - The Open-Access, Open-Assessment E-Journal is edited by Dennis J. Snower

More articles in Economics - The Open-Access, Open-Assessment E-Journal from Kiel Institute for the World Economy
Contact information at EDIRC.
Series data maintained by ZBW - German National Library for Economics ().