News Shocks, Information Flows and SVARs

This paper assesses SVARs as relevant tools at identifying the aggregate effects of news shocks. When the econometrician and private agents’ information sets are not aligned, the dynamic responses identified from SVARs are biased. However, the bias vanishes when news shocks account for the bulk of fluctuations in the economy. A simple correlation diagnostic test shows that under this condition, news shocks identified through long–run and short–run restrictions have a correlation close to unity.

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Year of publication:	2012-03
Authors:	Fève, Patrick ; Jidoud, Ahmat
Institutions:	Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE)
Subject:	Information Flows \| News shocks \| Non–fundamentalness \| SVARs \| Identification

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Extent:	application/pdf
Series:	IDEI Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Annales d'Économie et de Statistique, vol. 113-114, Institut national de la statistique et des études économiques, Paris, juin 2014, p. 293-308. The text is part of a series IDEI Working Paper Number 705
Classification:	C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011085471