Stock Prices, News, and Economic Fluctuations: Comment

• 成果类型: Editorial Material
• 署名作者: Kurmann, Andre; Mertens, Elmar
• 署名单位: Drexel University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.4.1439
• 发表日期: 2014
• 页码: 1439-1445
• 关键词: BUSINESS CYCLES COMPETE; LETTING DIFFERENT VIEWS; IDENTIFYING RESTRICTIONS

摘要

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.