Stock prices, news, and economic fluctuations: comment

André Kurmann and Elmar Mertens

No 2013-08, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Beaudry and Portier (American Economoc Review, 2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed by Beaudry and Portier (2006).

Date: 2013
New Economics Papers: this item is included in nep-ecm and nep-fmk
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Stock Prices, News, and Economic Fluctuations: Comment (2014)
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