Sentiments in SVARs

• 成果类型: Article
• 署名作者: Feve, Patrick; Guay, Alain
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; University of Quebec; University of Quebec Montreal; Universite de Montreal
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12580
• 发表日期: 2019
• 页码: 877-896
• 关键词: aggregate demand; news; fluctuations; INFORMATION

摘要

This article investigates the contribution of sentiment shocks to US fluctuations in a Structural VAR setup with restrictions at various frequencies. Sentiments shocks are identified as shocks orthogonal to fundamentals that account for most of the variance of confidence. We obtain that, contrary to news shocks on total factor productivity, sentiment shocks explain little of quantities and prices. Sentiments shocks mostly appear as an idiosyncratic component of confidence. These results are robust to various perturbations.