Chen, Wenjuan; Velinov, Anton - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identi cation scheme. Identification of fundamental and nonfundamental shocks is shown to be...