On the dynamic implications of news shocks
This paper assesses the time series properties of rational expectations models with news shocks. We show that news shocks allows to substantially improve the dynamic behavior of such models in generating higher persistence. We also warn the use of SVAR models to uncover news shocks.
Year of publication: |
2009
|
---|---|
Authors: | Fève, Patrick ; Matheron, Julien ; Sahuc, Jean-Guillaume |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 2, p. 96-98
|
Publisher: |
Elsevier |
Subject: | Rational expectations News shocks Persistence |
Saved in:
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