Autori
LUETKEPOHL, Helmut
LANNE, Markku

Titolo
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2008 - Fascicolo: 29 - Pagina iniziale: 1 - Pagina finale: 14

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi- variate systems comprising U.S. stock prices and total factor productivity. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that some previously used identification schemes can be rejected in our model setup. The results crucially depend on the measure used for total factor productivity.




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