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

Principal Investigator(s): View help for Principal Investigator(s) Paul Beaudry; Franck Portier

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Project Citation:

Beaudry, Paul, and Portier, Franck. Replication data for: Stock Prices, News, and Economic Fluctuations. Nashville, TN: American Economic Association [publisher], 2006. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116234V1

Project Description

Summary: 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)

Scope of Project

JEL Classification:
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      G14 Information and Market Efficiency; Event Studies; Insider Trading

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V1 [2019-12-07]

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