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 …

shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not …

by a shock that does not affect productivity in the short run -- and therefore does not look like a standard technology … shock -- but affects productivity with substantial delay -- and therefore does not look like a monetary shock. One … precede productivity growth by a few years. Moreover, we show that this shock explains about 50\% of business cycle …

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

by a shock that does not affect productivity in the short run -- and therefore does not look like a standard technology … shock -- but affects productivity with substantial delay -- and therefore does not look like a monetary shock. One … precede productivity growth by a few years. Moreover, we show that this shock explains about 50\% of business cycle …

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