Comparing Two Methods for the Identification of News Shocks

47 Pages Posted: 16 Jan 2014

See all articles by Paul Beaudry

Paul Beaudry

University of British Columbia (UBC) - Vancouver School of Economics; National Bureau of Economic Research (NBER)

Franck Portier

University of Toulouse I - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ); Centre for Economic Policy Research (CEPR)

Atilim Seymen

ZEW – Leibniz Centre for European Economic Research

Date Written: December 13, 2013

Abstract

Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology — news — shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the extent to which two prominent structural VAR approaches can be useful in recuperating news shock dynamics from artificially generated data in general and (ii) why and to what extent these SVAR approaches differ in the results they deliver in particular. Thereby, we provide several insights for the users of both VAR techniques with small samples in practice.

Keywords: News Shocks, Structural VAR, Identification

JEL Classification: C32, E32

Suggested Citation

Beaudry, Paul and Portier, Franck and Seymen, Atilim, Comparing Two Methods for the Identification of News Shocks (December 13, 2013). ZEW - Centre for European Economic Research Discussion Paper No. 13-110, Available at SSRN: https://ssrn.com/abstract=2379427 or http://dx.doi.org/10.2139/ssrn.2379427

Paul Beaudry

University of British Columbia (UBC) - Vancouver School of Economics ( email )

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National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

Franck Portier

University of Toulouse I - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) ( email )

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Toulouse, 31000
France
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Centre for Economic Policy Research (CEPR)

London
United Kingdom

Atilim Seymen (Contact Author)

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
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Mannheim, 68161
Germany

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