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Do News Shocks Drive Business Cycles? Evidence from German Data [Dataset]
hdl:1902.1/13720
Version: 1 – Released: Wed Nov 25 08:26:15 EST 2009
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Data Citation Details
Study Global IDhdl:1902.1/13720
AuthorsThomas Haertel (University of Hamburg); Bernd Lucke (University of Hamburg)
Production Date2008
Software MicroTSP
DistributorEconomics: The Open-Access, Open-Assessment E-Journal Logo
Distributor ContactKorinna Werner-Schwarz (Kiel Institute for the World Economy), korinna.werner-schwarz@economics-ejournal.org
Distribution Date2008
Deposit DateOctober 05, 2009
Provenance
Abstract and Scope
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.

Abstract Date2008
KeywordsNews; Business cycles; TFP; Structural VAR
Topic ClassificationE32 (JEL)
Related PublicationsThomas Haertel and Bernd Lucke (2008). Do News Shocks Drive Business Cycles? Evidence from German Data. Economics: The Open-Access, Open-Assessment E-Journal, Vol. 2, 2008-10. http://www.economics-ejournal.org/economics/journalarticles/2008-10
Time Period Covered1970 - 2005
Geographic CoverageGermany
Kind of Dataaggregate data
Data Collection / Methodology
Time MethodTime series
Frequencyquarterly
Data Availability
Number of Files 1
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"Do News Shocks Drive Business Cycles? Evidence from German Data [Dataset]", hdl:1902.1/13720