Stock Prices, News, and Economic Fluctuations: Comment
American Economic Review · 2014 · Volume 104 · Issue 4
Abstract
Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and longrun restrictions.
Keywords
Business Fluctuations, Cycles, Financial Markets and the Macroeconomy, Asset Pricing, Trading Volume, Bond Interest Rates, Information and Market Efficiency, Event Studies, Insider Trading
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