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T1  - Evidence on News Shocks under Information Deficiency 
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UR  - http://hdl.handle.net/10138/208450 
T3  - HECER Discussion Paper ; 415 
A1  - Nelimarkka, Jaakko 
A2  -  
PB  - HECER – Helsinki Center of Economic Research 
Y1  - 2017 
LA  - eng 
AB  - News shocks about future productivity can be correctly inferred from a conventional VAR model only if information contained in observables is rich enough. This paper examines news shocks by means of a noncausal VAR model that recovers economic shocks from both past and future variation. As noncausality is implied by nonfundamentalness, the model solves the problem of insufficient information per se. By the impulse responses derived from the model, variables react to the anticipated structural sh... 
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