American Economic Review Vol. 104 No. 4 2014

Stock Prices, News, and Economic Fluctuations: Comment

André Kurmann¹; Elmar Mertens²

¹ LeBow College of Business, School of Economics, Drexel University, 3220 Market Street, Philadelphia, PA 19104 (e-mail: ) · ² Division of Monetary Affairs, Federal Reserve Board, 20th Street and Constitution Avenue NW, Washington, DC 20551 (e-mail: )

Abstract

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 long-run restrictions.

DOI

10.1257/aer.104.4.1439

Volume

104

Issue

4

Pages

1439-1445

Language

en

Sources

bibtex:phds-export.bib crossref openalex

Cite

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