Sentiments in SVARs
Bibliographic Data
| ID | 9707552 |
|---|---|
| Authors | Patrick Fève (0009-0006-4064-7775, University of Toulouse I-Capitole, corresponding author), Alain Guay (Université du Québec à Montréal, CIRPÉE and CIREQ) |
| Year | 2019 |
| Volume | 129 |
| Issue | 618 |
| Pages | 877-896 |
| Publication date | 2019-02-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/ecoj.12580 |
| OpenAlex | W2415301195 |
| Language | EN |
| Citations received | 2 |
| References cited | 27 |
This article investigates the contribution of sentiment shocks to US fluctuations in a Structural VAR setup with restrictions at various frequencies. Sentiments shocks are identified as shocks orthogonal to fundamentals that account for most of the variance of confidence. We obtain that, contrary to news shocks on total factor productivity, sentiment shocks explain little of quantities and prices. Sentiments shocks mostly appear as an idiosyncratic component of confidence. These results are robust to various perturbations
Consumer confidence index · Econometrics · Economics · Keynesian economics · Variance (accounting · Accounting · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact
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| Unique citing works | 2 |
|---|---|
| Citations per year | 0,33 |
| Citation span | 2020 - 2026 (7) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 2 |