Document de travail

Sentiments in SVARs

Patrick Fève et Alain Guay

Résumé

This paper investigates the contribution of sentiments shocks to US fluctuations in a Structural VAR setup with long, medium and short run restrictions. Sentiments shocks are identified as shocks orthogonal to fundamentals that accounts for most of the variance of confidence. We assess our identification procedure from simulation experiments and show that it performs pretty well. From actual data, we obtain that, contrary to news shocks on total factor productivity, sentiments shocks explain very little of quantities and prices. Sentiments shocks mostly appear as an idiosyncratic component of confidence. These results are robust to various perturbations of the benchmark model.

Mots-clés

Sentiment Shocks; News Shocks; SVARs; Identifying Restrictions;

Codes JEL

  • C32: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
  • E32: Business Fluctuations • Cycles

Remplacé par

Patrick Fève et Alain Guay, « Sentiments in SVARs », The Economic Journal, vol. 129, n° 618, février 2019, p. 877–896.

Référence

Patrick Fève et Alain Guay, « Sentiments in SVARs », TSE Working Paper, n° 16-656, mai 2016.

Voir aussi

Publié dans

TSE Working Paper, n° 16-656, mai 2016