The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data / Paul Beaudry, Franck Portier.

Format:

Book

Author/Creator:

Beaudry, Paul.

Contributor:

National Bureau of Economic Research.

Portier, Franck.

Series:

Working Paper Series (National Bureau of Economic Research) no. w11496.

NBER working paper series no. w11496

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

The "News" View of Economic Fluctuations

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier [2004b]. The main findings are that (i) in both Japan and the U.S., innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity and (ii) such stock prices innovations do not affect U.S. sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving U.S. TFP growth, namely durable goods, and among them equipment sectors.

Notes:

Print version record

August 2005.