News shocks and Japanese macroeconomic fluctuations

► TFP news shocks are important in explaining Japanese macroeconomic fluctuations. ► News shocks on investment-specific technology (IST) have a considerable effect on macro activities in Japan. ► SVAR with sign restrictions reconfirms the results that the news shocks are important in explaining the Japanese macroeconomic fluctuations. ► The role of news shocks in the United States is more important than in Japan.