News shocks: Different effects in boom and recession?

Arbeitspapier

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel approach to impose these restrictions in a nonlinear model using the generalized forecast error variance decomposition. We compute generalized impulse response functions that allow for regime transition and find evidence of state-dependency. The results also indicate that the probability of a regime switch is highly influenced by the news shocks.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 19.01

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
• Thema: smooth transition vector autoregressive model ; nonlinear time-series model ; news shock ; generalized impulse responses ; generalized forecast error variance decomposition

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bolboaca, Maria ; Fischer, Sarah
• Ereignis: Veröffentlichung
• (wer): Swiss National Bank, Study Center Gerzensee
• (wo): Gerzensee
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/224154
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ