Sectoral TFP News Shocks

Christoph Gortz; John D. Tsoukalas

doi:10.1016/j.econlet.2018.03.001

Sectoral TFP News Shocks

Christoph Gortz, John D. Tsoukalas

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Abstract

We document a strong similarity in the macroeconomic effects of consumption-specific and investment specific TFP news shocks. This co-linearity suggests a diffusion channel of technological innovations from the investment to the consumption sector that forecast future changes in aggregate TFP. This finding
connects two views of the literature on news shocks: aggregate TFP news and investment specific news.

Original language	English
Journal	Economics Letters
Volume	168
Early online date	12 Mar 2018
DOIs	https://doi.org/10.1016/j.econlet.2018.03.001
Publication status	E-pub ahead of print - 12 Mar 2018

Keywords

News shocks
Business cycles
VAR
Sectoral TFP

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10.1016/j.econlet.2018.03.001

Gortz_&_Tsoukalas_Sectoral_TFP_News_Shocks_Economics_Letters_2018
Checked for eligibility: 30/04/2018 https://www.sciencedirect.com/science/article/pii/S0165176518300867 https://doi.org/10.1016/j.econlet.2018.03.001
Accepted author manuscript, 676 KBLicence: Creative Commons: Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)

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title = "Sectoral TFP News Shocks",

abstract = "We document a strong similarity in the macroeconomic effects of consumption-specific and investment specific TFP news shocks. This co-linearity suggests a diffusion channel of technological innovations from the investment to the consumption sector that forecast future changes in aggregate TFP. This findingconnects two views of the literature on news shocks: aggregate TFP news and investment specific news.",

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AU - Tsoukalas, John D.

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AB - We document a strong similarity in the macroeconomic effects of consumption-specific and investment specific TFP news shocks. This co-linearity suggests a diffusion channel of technological innovations from the investment to the consumption sector that forecast future changes in aggregate TFP. This findingconnects two views of the literature on news shocks: aggregate TFP news and investment specific news.

KW - News shocks

KW - Business cycles

KW - VAR

KW - Sectoral TFP

U2 - 10.1016/j.econlet.2018.03.001

DO - 10.1016/j.econlet.2018.03.001

M3 - Article

SN - 0165-1765

VL - 168

JO - Economics Letters

JF - Economics Letters

ER -

Sectoral TFP News Shocks

Abstract

Keywords

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