Stock Prices, News, and Economic Fluctuations: Comment

André Kurmann and Elmar Mertens

American Economic Review, 2014, vol. 104, issue 4, 1439-45

Abstract: Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and longrun restrictions.

JEL-codes: E32 E44 G12 G14 (search for similar items in EconPapers)
Date: 2014
Note: DOI: 10.1257/aer.104.4.1439
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Citations: View citations in EconPapers (26)

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Working Paper: Stock prices, news, and economic fluctuations: comment (2013)
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