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Sectoral TFP news shocks

Christoph Görtz () and John D. Tsoukalas

Economics Letters, 2018, vol. 168, issue C, 31-36

Abstract: We document a strong similarity in the macroeconomic effects of consumption-specific and investment specific TFP news shocks. This co-linearity suggests a diffusion channel of technological innovations from the investment to the consumption sector that forecast future changes in aggregate TFP. This finding connects two views of the literature on news shocks: aggregate TFP news and investment specific news.

Keywords: News shocks; Business cycles; VAR; Sectoral TFP (search for similar items in EconPapers)
JEL-codes: E2 E3 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:ecolet:v:168:y:2018:i:c:p:31-36