Investment‐Specific News Shocks and U.S. Business Cycles

Nadav Ben Zeev and Hashmat Khan ()

Journal of Money, Credit and Banking, 2015, vol. 47, issue 7, 1443-1464

Abstract: We provide robust evidence that news shocks about future investment‐specific technology (IST) constitute a significant force behind U.S. business cycles. Positive IST news shocks induce comovement, that is, raise output, consumption, investment, and hours. These shocks account for 70% of the business cycle variation in output, hours, and consumption, and 60% of the variation in investment, and have played an important role in 9 of the last 10 U.S. recessions. Our findings provide strong support for shifting focus to IST news shocks when investigating the role of news in driving U.S. business cycles.

Date: 2015
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https://doi.org/10.1111/jmcb.12250

Related works:
Working Paper: Investment-Specific News Shocks and U.S. Business Cycles (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:47:y:2015:i:7:p:1443-1464

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