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Sentiments in SVARs

Patrick Fève and Alain Guay

Economic Journal, 2019, vol. 129, issue 618, 877-896

Abstract: This article investigates the contribution of sentiment shocks to US fluctuations in a Structural VAR setup with restrictions at various frequencies. Sentiments shocks are identified as shocks orthogonal to fundamentals that account for most of the variance of confidence. We obtain that, contrary to news shocks on total factor productivity, sentiment shocks explain little of quantities and prices. Sentiments shocks mostly appear as an idiosyncratic component of confidence. These results are robust to various perturbations.

Date: 2019
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Working Paper: Sentiments in SVARs (2016) Downloads
Working Paper: Sentiments in SVARs (2016) Downloads
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