NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Stock Prices, News and Economic Fluctuations

Paul Beaudry, Franck Portier

NBER Working Paper No. 10548
Issued in June 2004
NBER Program(s):   EFG   AP

In this paper 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 we suggest for this shock is that it represents news about future technological opportunities which is first captured in stock prices. We show that this shock causes a boom in consumption, investment and hours worked that precede productivity growth by a few years. Moreover, we show that this shock explains about 50\% of business cycle fluctuations.

download in pdf format
   (882 K)

email paper

This paper is available as PDF (882 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w10548

Published:

Users who downloaded this paper also downloaded these:
Jaimovich and Rebelo w12537 Can News About the Future Drive the Business Cycle?
Beaudry and Portier w11496 The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data
Basu, Fernald, and Kimball w10592 Are Technology Improvements Contractionary?
Beaudry and Portier w10776 When Can Changes in Expectations Cause Business Cycle Fluctuations in Neo-Classical Settings?
Schmitt-Grohe and Uribe w14215 What's News in Business Cycles
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us