The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data

Paul Beaudry and Franck Portier ()

No 11496, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier [2004b]. The main findings are that (i) in both Japan and the U.S., innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity and (ii) such stock prices innovations do not affect U.S. sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving U.S. TFP growth, namely durable goods, and among them equipment sectors.

JEL-codes: E3 (search for similar items in EconPapers)
Date: 2005-08
New Economics Papers: this item is included in nep-mac
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

Published as Beaudry, Paul and Franck Portier. "The 'News View' Of Economic Fluctuations: Evidence From Aggregate Japanese Data And Sectoral US Data," Journal of the Japanese and International Economies, 2005, v19(4,Dec), 635-652.

Downloads: (external link)
http://www.nber.org/papers/w11496.pdf (application/pdf)

Related works:
Journal Article: The "news view" of economic fluctuations: Evidence from aggregate Japanese data and sectoral US data (2005)
Working Paper: The 'News' View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral US Data (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:11496

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w11496

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().