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Testing the Technology Interpretation of News Shocks

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  • Bernd Lucke

    (Economics - University of Hamburg)

Abstract

This paper presents further evidence on the hypothesis of news driven business cycles. I use a structural VECM approach to identify news shocks as in Beaudry and Lucke (2010). I document three facts: First, news shocks identified by BL are Granger-causal for US patent data. Second, BL's analysis applied to German macro data reveals very similar patterns: Activity is largely driven by news and news shocks explain a sizable and increasing share of TFP variance at long horizons. Third, German news shocks are Granger-causal for German patent data and the pattern is, again, very similar to the US. Since patent data in the US and Germany are almost uncorrelated, the similarity is striking and strongly suggests a technology interpretation of news shocks.

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  • Bernd Lucke, 2011. "Testing the Technology Interpretation of News Shocks," Post-Print hal-00732114, HAL.
    • Handle: RePEc:hal:journl:hal-00732114
    DOI: 10.1080/00036846.2011.566209
    Note: View the original document on HAL open archive server: https://hal.science/hal-00732114
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    Cited by:

    1. Gangopadhyay, Kausik & Nishimura, Atsushi & Pal, Rupayan, 2016. "Can the information technology revolution explain the incidence of co-movement of skill premium and stock prices?," Economic Modelling, Elsevier, vol. 53(C), pages 107-120.
    2. Seymen, Atılım, 2013. "Sequential identification of technological news shocks," ZEW Discussion Papers 13-111, ZEW - Leibniz Centre for European Economic Research.
    3. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.

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