Miller, Stephen M.; GUPTA, RANGAN; Simo-Kengne, Beatrice D. - Department of Economics, University of Connecticut - 2013
This paper investigates whether changes in the monetary transmission mechanism as captured by the interest rate respond to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and employ a TVP-VAR approach with stochastic volatility to...