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Replication data for: Stock Prices, News, and Economic Fluctuations

Version
1
Resource Type
Dataset
Creator
  • Beaudry, Paul
  • Portier, Franck
Publication Date
2006-09-01
Description
  • Abstract

    We show that the joint behavior of stock prices and TFP favors a view of business cycles driven largely 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 structural interpretation for this shock is that it represents news about future technological opportunities which is first captured in stock prices. This shock causes a boom in consumption, investment, and hours worked that precedes productivity growth by a few years, and explains about 50 percent of business cycle fluctuations. (JEL G12, E32, E44)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.96.4.1293 (Text)
Publications
  • Beaudry, Paul, and Franck Portier. “Stock Prices, News, and Economic Fluctuations.” American Economic Review 96, no. 4 (August 2006): 1293–1307. https://doi.org/10.1257/aer.96.4.1293.
    • ID: 10.1257/aer.96.4.1293 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Beaudry, Paul; Portier, Franck (2006): Replication data for: Stock Prices, News, and Economic Fluctuations. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116234V1