Stock prices, news, and economic fluctuations: comment
Abstract: Beaudry and Portier (American Economoc Review, 2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed by Beaudry and Portier (2006).
File(s): File format is text/html http://www.federalreserve.gov/pubs/feds/2013/201308/201308abs.html
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/feds/2013/201308/201308pap.pdf
Part of Series: Finance and Economics Discussion Series
Publication Date: 2013