Article ID Journal Published Year Pages File Type
10477994 Journal of the Japanese and International Economies 2005 18 Pages PDF
Abstract
This paper uses aggregate Japanese data and sectoral US data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in [Beaudry, P., Portier, F., 2004. News, stock prices and economic fluctuations. Working paper 10548. NBER]. The main findings are that (i) in both Japan and the US, innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long-run movements in total factor productivity and (ii) such stock prices innovations do not affect US sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving US TFP growth, namely durable goods, and among them equipment sectors. J. Japanese Int. Economies19 (4) (2005) 635-652.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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