Arbeitspapier
Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 2407
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
Cointegration
Markov regime switching model
vector error correction model
structural vector autoregression
mixed normal distribution
Konjunktur
Erwartungstheorie
Schock
Börsenkurs
Produktivität
Markovscher Prozess
VAR-Modell
Schätzung
USA
- Event
-
Geistige Schöpfung
- (who)
-
Lanne, Markku
Luetkepohl, Helmut
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lanne, Markku
- Luetkepohl, Helmut
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2008
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