News-driven Business Cycles in SVARs
No SFB649DP2011-040, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649
Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of experiments to test that hypothesis by examining its implications. If business cycles are mainly driven by news then these shocks should be captured by other time series as well. I find that news shocks identified through S&P 500 prices exhibit the same dynamics as news identified through a broader stock price index, patent applications, the relative price of investment or shocks to the real interest rate. The common theme among these identifications is a technological change in productivity that demands time to build, economic activity and natural resources to come into effect.
Keywords: Business Cycles; News Shocks; Technological Progress (search for similar items in EconPapers)
JEL-codes: E30 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-mac
References: View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2011-040
Access Statistics for this paper
More papers in SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649 Contact information at EDIRC.
Series data maintained by RDC-Team ().