On the dynamic implications of news shocks
Julien Matheron () and
Jean-Guillaume Sahuc ()
Economics Letters, 2009, vol. 102, issue 2, 96-98
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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Working Paper: On the Dynamic Implications of News Shocks (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:102:y:2009:i:2:p:96-98
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