Sentiments in SVARs

Patrick Fève and Alain Guay

No 16-656, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: This paper investigates the contribution of sentiments shocks to US fluctuations in a Structural VAR setup with long, medium and short run restrictions. Sentiments shocks are identified as shocks orthogonal to fundamentals that accounts for most of the variance of confidence. We assess our identification procedure from simulation experiments and show that it performs pretty well. From actual data, we obtain that, contrary to news shocks on total factor productivity, sentiments shocks explain very little of quantities and prices. Sentiments shocks mostly appear as an idiosyncratic component of confidence. These results are robust to various perturbations of the benchmark model.

Keywords: Sentiment Shocks; News Shocks; SVARs; Identifying Restrictions (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2016-05
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Sentiments in SVARs (2019)
Working Paper: Sentiments in SVARs (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:30484

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