Guidolin, Massimo; Hyde, Stuart - In: Journal of Multinational Financial Management 18 (2008) 4, pp. 293-312
We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. We find that two regimes, characterized as bear and bull states, are required to...