Stock Prices, News, and Economic Fluctuations: Comment

Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique sol...

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Bibliographic Details
Published inThe American economic review Vol. 104; no. 4; pp. 1439 - 1445
Main Authors Kurmann, André, Mertens, Elmar
Format Journal Article
LanguageEnglish
Published Nashville American Economic Association 01.04.2014
Subjects
Cointegration
Consumption
Economic fluctuations
Economic systems
Economic theory
Effects
Error correction & detection
Error correction models
Identification
Infinity
Investments
Macroeconomics
News media
Point estimators
Price shocks
Prices
Productivity
Restrictions
Securities markets
Shorter Papers
Stock prices
Studies
U.S.A
Variables
Vector autoregression
Working papers
United States > US
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Summary:Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and longrun restrictions.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0002-8282
1944-7981
DOI:10.1257/aer.104.4.1439