Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - Department of Economics, University of Nevada-Las Vegas - 2014
This paper investigates whether changes in the monetary transmission mechanism as captured by the interest rate respond to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and employ a TVP-VAR approach with stochastic volatility to...