Do News Shocks Drive Business Cycles? Evidence from German Data [Dataset]

We study the Beaudry and Portier (2006)-hypothesis of delayed-technology diffusion and news-driven business cycles. For German data on TFP and stock prices we find qualitatively similar empirical evidence. Quantitatively, however, an impulse response analysis suggests that a substantial part of the total TFP response is immediate rather than delayed. We relate this to disembodied technological change and noisy data on TFP. Nevertheless, we confirm the technology interpretation of structural shocks by showing that they are Granger-causal for data on patents granted by the Ge rman patent agency. We also show that these shocks generate comovement of macro variables at business cycle horizons and account for a sizable share of the forecast error variance of these variables in the medium and long run.本文研究Beaudry与Portier（2006）提出的技术扩散滞后与新闻驱动型经济周期假说。针对德国全要素生产率（Total Factor Productivity, TFP）与股票价格的相关数据，我们得到了定性层面相似的实证证据。但从定量视角来看，脉冲响应分析表明，全要素生产率总响应中的绝大部分为即时响应，而非滞后响应。我们将该现象归因于非体现型技术变革与全要素生产率数据的噪声特征。尽管如此，我们通过证明这些结构冲击与德国专利局授予的专利数据存在格兰杰因果关系，证实了对结构冲击的技术解读。此外，我们还证实，这些结构冲击会在经济周期维度下引发宏观经济变量的协同联动，并在中长期内解释了这些变量预测误差方差的可观占比。