This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While...

This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...

I investigate the transmission of U.S. stock price shocks to real activity and prices in G-7 countries using a multicountry vector autoregressive (VAR) model. I achieve identification by imposing a small number of sign restrictions on impulse responses, while controlling for monetary policy,...