ICAR Research Data Repository for Knowledge Management
Do News Shocks Drive Business Cycles? Evidence from German Data [Dataset]
Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)
View Archive Info| Field | Value | |
| Title |
Do News Shocks Drive Business Cycles? Evidence from German Data [Dataset]
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| Identifier |
https://doi.org/10.7910/DVN/CBD0NX
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| Creator |
Thomas Haertel
Bernd Lucke |
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| Publisher |
Harvard Dataverse
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| Description |
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 Ge rman 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. |
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| Subject |
News
Business cycles TFP Structural VAR |
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| Date |
2008
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| Type |
aggregate data
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