Whats news in news? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks

DOI10.1016/j.jedc.2016.09.005zbMath1401.91269OpenAlexW2519577150MaRDI QIDQ1656438

Eric R. Sims

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.09.005

zbMATH Keywords

variance decompositionnews shocks

Mathematics Subject Classification ID

Economics of information (91B44) Economic dynamics (91B55)

Related Items (1)

Bayesian inference on structural impulse response functions

Cites Work

• What's News in Business Cycles

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