TY - JOUR
T1 - What can we learn about news shocks from the late 1990s and early 2000s boom-bust period?
AU - Ben Zeev, Nadav
N1 - Funding Information:
This is a substantially revised version of the paper previously circulated as “A New VAR-Based Approach to Identifying News Shocks”. I am grateful to Chris Otrok, an anonymous referee, Arpad Abraham, Michael Beenstock, Fabio Canova, Alex Cukierman, Hashmat Khan, Ramon Marimon, Alessandro Mennuni, Evi Pappa, Yona Rubinstein, and seminar/conference participants at Bar Ilan University, Ben Gurion University, European University Institute, Hebrew University of Jerusalem, IDC Herzilia, Tel Aviv University, University of Haifa, and the 7th Max Weber Fellows’ June Conference for helpful comments and suggestions. I thank the European University Institute for the Max Weber fellowship.
Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2018/2/1
Y1 - 2018/2/1
N2 - The major boom-bust period of 1997–2003 is commonly viewed as an expectations-driven episode in which overly optimistic expectations about information and communications technology were followed by their downward revision. This paper employs a novel approach to identifying the news shocks of this period that restricts the identified shock to have its maximal three-year moving average of realizations in the 1997–1999 boom period, followed by a negative average in the bust period. I provide robust evidence that this shock raises output, hours, investment, and consumption, and accounts for the majority of their business cycle variation.
AB - The major boom-bust period of 1997–2003 is commonly viewed as an expectations-driven episode in which overly optimistic expectations about information and communications technology were followed by their downward revision. This paper employs a novel approach to identifying the news shocks of this period that restricts the identified shock to have its maximal three-year moving average of realizations in the 1997–1999 boom period, followed by a negative average in the bust period. I provide robust evidence that this shock raises output, hours, investment, and consumption, and accounts for the majority of their business cycle variation.
KW - Boom-bust period
KW - Business cycles
KW - Investment-specific technology
KW - News shocks
UR - http://www.scopus.com/inward/record.url?scp=85039742137&partnerID=8YFLogxK
U2 - 10.1016/j.jedc.2017.12.003
DO - 10.1016/j.jedc.2017.12.003
M3 - Article
AN - SCOPUS:85039742137
SN - 0165-1889
VL - 87
SP - 94
EP - 105
JO - Journal of Economic Dynamics and Control
JF - Journal of Economic Dynamics and Control
ER -