Data
This data file contains five shock series from my works on investment-specific technology (IST) news shocks: the three identified shocks from my 2015 JMCB paper with Hashmat khan ('Investment-Specific News Shocks and U.S. Business Cycles') using the maximum forecast error variance (MFEV) approach: IST news, unanticipated IST, and unanticipated TFP; the IST news shocks from my 2018 JEDC paper ('What Can We Learn about News Shocks from the Late 1990s and Early 2000s Boom-Bust Period?'), identified as one of two shocks that are driving the long-run variation in the relative price of investment and whose realizations exhibit a boom-bust pattern in the late 1990s and early 2000s period; and the 'business cycle shock' from my 2021 (working paper) paper ('Is There a Single Shock that Drives the Majority of Business Cycle Fluctuations?'), identified as the shock that raises output, hours, investment, and consumption on impact and explains at least 50% of these variables' 2-year forecast error variance.
Some Bird's Eye View Discussion
A noteworthy observation from my two later above-mentioned works is that these works suggest an empirical "if and only if" connection between the following two statements: 1) an IST news shocks is the main business cycle driving shock and 2) the main business cycle driving shock is an IST news shock. The 2018 JEDC paper shows robust empirical support for the first statement. And the later paper provides robust empirical support for the second statement by showing that the identified 'business cycle shock' shares the properties defining the identified IST news shock from the earlier paper (i.e., being one of the two shocks (the other being the unanticipated IST shock) driving the long-run variation in the relative price of investment and whose realizations follow a boom-bust pattern in the late 1990s and early 2000s period), as manifested by an extremely high correlation of 94.5% between the two (apriori unrelated) shock series. In other words, there seems to be a convincing case for empirical equivalence between the IST news shock and 'business cycle shock' objects.
This data file contains five shock series from my works on investment-specific technology (IST) news shocks: the three identified shocks from my 2015 JMCB paper with Hashmat khan ('Investment-Specific News Shocks and U.S. Business Cycles') using the maximum forecast error variance (MFEV) approach: IST news, unanticipated IST, and unanticipated TFP; the IST news shocks from my 2018 JEDC paper ('What Can We Learn about News Shocks from the Late 1990s and Early 2000s Boom-Bust Period?'), identified as one of two shocks that are driving the long-run variation in the relative price of investment and whose realizations exhibit a boom-bust pattern in the late 1990s and early 2000s period; and the 'business cycle shock' from my 2021 (working paper) paper ('Is There a Single Shock that Drives the Majority of Business Cycle Fluctuations?'), identified as the shock that raises output, hours, investment, and consumption on impact and explains at least 50% of these variables' 2-year forecast error variance.
Some Bird's Eye View Discussion
A noteworthy observation from my two later above-mentioned works is that these works suggest an empirical "if and only if" connection between the following two statements: 1) an IST news shocks is the main business cycle driving shock and 2) the main business cycle driving shock is an IST news shock. The 2018 JEDC paper shows robust empirical support for the first statement. And the later paper provides robust empirical support for the second statement by showing that the identified 'business cycle shock' shares the properties defining the identified IST news shock from the earlier paper (i.e., being one of the two shocks (the other being the unanticipated IST shock) driving the long-run variation in the relative price of investment and whose realizations follow a boom-bust pattern in the late 1990s and early 2000s period), as manifested by an extremely high correlation of 94.5% between the two (apriori unrelated) shock series. In other words, there seems to be a convincing case for empirical equivalence between the IST news shock and 'business cycle shock' objects.