News Shocks, Information Flows and SVARs

Patrick Fève and Ahmat Jidoud

Annals of Economics and Statistics, 2014, issue 113-114, 293-307

Abstract: This paper assesses SVARs as relevant tools at identifying the dynamic effects or news shocks, Because of the misalignment between the econometrician and private agents' information sets resulting from foresight the dynamic responses identified from SVARs using either long-run and short-run restrictions are biased. However the bias vanishes when news shocks account for the bulk of fluctuations in the economy. Furthermore under this condition. he two identified shocks have a correlation close to unity validating the sequential identification approach adopted by BEAUDRY and PORTIER (2006)

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jstor.org/stable/10.15609/annaeconstat2009.113-114.293 (text/html)

Related works:
Working Paper: News Shocks, Information Flows and SVARs (2012)
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: https://EconPapers.repec.org/RePEc:adr:anecst:y:2014:i:113-114:p:293-307

DOI: 10.15609/annaeconstat2009.113-114.293

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().