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

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

Version:  View help for Version V1

Name File Type Size Last Modified
BPdata.wk1 image/x-cur 31.8 KB 12/07/2019 07:16:AM
BPdata_annual.wk1 image/x-cur 4.7 KB 12/07/2019 07:16:AM
Capital-series-methodology.txt text/plain 8.7 KB 12/07/2019 07:16:AM
POPU.M text/plain 813 bytes 12/07/2019 07:16:AM
Q2Yf.m text/plain 173 bytes 12/07/2019 07:16:AM
Q2Ys.m text/plain 152 bytes 12/07/2019 07:16:AM
conso.wk1 image/x-cur 36.8 KB 12/07/2019 07:16:AM
donq.mat application/octet-stream 37.4 KB 12/07/2019 07:16:AM
make_annual_data.m text/plain 2.1 KB 12/07/2019 07:15:AM
makedonq.m text/plain 4.5 KB 12/07/2019 07:16:AM

Project Description

Summary:  View help for 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:  View help for 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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Published Versions

V1 [2019-12-07]

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