NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The "News" View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data

Paul Beaudry, Franck Portier

NBER Working Paper No. 11496
Issued in August 2005
NBER Program(s):EFG

This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier [2004b]. The main findings are that (i) in both Japan and the U.S., innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity and (ii) such stock prices innovations do not affect U.S. sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving U.S. TFP growth, namely durable goods, and among them equipment sectors.

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Document Object Identifier (DOI): 10.3386/w11496

Published: Beaudry, Paul and Franck Portier. "The 'News View' Of Economic Fluctuations: Evidence From Aggregate Japanese Data And Sectoral US Data," Journal of the Japanese and International Economies, 2005, v19(4,Dec), 635-652. citation courtesy of

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