Journal Article

No. 2008-10 | March 17, 2008
Do News Shocks Drive Business Cycles? Evidence from German Data PDF Icon

Abstract

We study the Beaudry and Portier (2006)-hypothesis of delayed-technology diffusion and news-driven business cycles. For German data on TFP and stock prices we find qualitatively similar empirical evidence. Quantitatively, however, an impulse response analysis suggests that a substantial part of the total TFP response is immediate rather than delayed. We relate this to disembodied technological change and noisy data on TFP. Nevertheless, we confirm the technology interpretation of structural shocks by showing that they are Granger-causal for data on patents granted by the German patent agency. We also show that these shocks generate comovement of macro variables at business cycle horizons and account for a sizable share of the forecast error variance of these variables in the medium and long run.

Data Set

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The data set for this article can be found at: http://hdl.handle.net/1902.1/13720

JEL Classification

E32

Citation

Thomas Haertel and Bernd Lucke (2008). Do News Shocks Drive Business Cycles? Evidence from German Data. Economics: The Open-Access, Open-Assessment E-Journal, 2 (2008-10): 1—21. http://dx.doi.org/10.5018/economics-ejournal.ja.2008-10

Assessment

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