Journal article
Stock Prices, News, and Economic Fluctuations: Comment
The American economic review, v 104(4), pp 1439-1445
01 Apr 2014
Featured in Collection : UN Sustainable Development Goals @ Drexel
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.
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Details
- Title
- Stock Prices, News, and Economic Fluctuations: Comment
- Creators
- Andre Kurmann - Drexel UniversityElmar Mertens - Federal Reserve Board of Governors
- Publication Details
- The American economic review, v 104(4), pp 1439-1445
- Publisher
- Amer Economic Assoc
- Number of pages
- 7
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000334498600013
- Scopus ID
- 2-s2.0-84898609149
- Other Identifier
- 991019169650004721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics