. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with …

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

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as … scheme to disentangle the effects of news and financial uncertainty shocks. We find that by removing uncertainty effects from … negative responses of activity to financial uncertainty shocks are deepened in the medium term as ‘good uncertainty' effects …

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …

sentiment shock that drives the movements of bubbles and is transmitted to the real economy through endogenous credit … constraints. This shock explains most of the stock market fluctuations and sizable fractions of the variations in real quantities …