shocks to the real interest rate. The common theme among these identifications is a technological change in productivity that …

investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity …. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that … used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …

news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …

We explore the implications of shocks to expected future productivity in a setting with limited enforcement of … response to positive news about future productivity, as well as the other properties of an expectation driven business cycle …