News Shocks, Information Flows and SVARs

Patrick Fève and Ahmat Jidoud ()

No 705, IDEI Working Papers from Institut d'Économie Industrielle (IDEI), Toulouse

Abstract: 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.

Keywords: Information Flows; News shocks; Non–fundamentalness; SVARs; Identification (search for similar items in EconPapers)
JEL-codes: C32 C52 E32 (search for similar items in EconPapers)
Date: 2012-03
New Economics Papers: this item is included in nep-cba and nep-ecm
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Related works:
Journal Article: News Shocks, Information Flows and SVARs (2014)
Working Paper: News Shocks, Information Flows and SVARs (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ide:wpaper:25752

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