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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model
Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196
Persistent link: https://www.econbiz.de/10011378505
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - 2018
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...
Persistent link: https://www.econbiz.de/10011810177
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14
We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...
Persistent link: https://www.econbiz.de/10011887655
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models
Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10012222592
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …
Persistent link: https://www.econbiz.de/10011771740
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Do monetary policy shocks generate TAR or STAR dynamics in output?
Donayre, Luiggi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 227-247
Persistent link: https://www.econbiz.de/10011313585
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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first … stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy …
Persistent link: https://www.econbiz.de/10014422351
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A VAR model for monetary policy analysis in a small open economy
Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999
for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …
Persistent link: https://www.econbiz.de/10011584357
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10010361372