The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data
University of British Columbia - Department of Economics; National Bureau of Economic Research (NBER)
University of Toulouse I - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ); Institut Universitaire de France; Centre for Economic Policy Research (CEPR)
NBER Working Paper No. w11496
This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier [2004b]. The main findings are that (i) in both Japan and the U.S., innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity and (ii) such stock prices innovations do not affect U.S. sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving U.S. TFP growth, namely durable goods, and among them equipment sectors.
Number of Pages in PDF File: 26working papers series
Date posted: August 29, 2005
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