The 'News' View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral US Data

Franck Portier () and Paul Beaudry

No 5176, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper uses aggregate Japanese data and sectoral US data to explore the properties of the joint behaviour of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier (2004b). The main findings are that (i) in both Japan and the US, innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity, and (ii) such stock prices innovations do not affect US sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving US TFP growth, namely durable goods, and among them equipment sectors.

Keywords: Stock prices; Business cycle; Productivity shocks (search for similar items in EconPapers)
JEL-codes: E3 (search for similar items in EconPapers)
Date: 2005-08
New Economics Papers: this item is included in nep-bec, nep-dge, nep-mac and nep-sea
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Citations: View citations in EconPapers (39)

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Related works:
Journal Article: The "news view" of economic fluctuations: Evidence from aggregate Japanese data and sectoral US data (2005)
Working Paper: The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data (2005)
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