This paper uses a panel Threshold VAR model to estimate the regime-dependent impact of oil shocks on stock prices. We … find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this … impact is negligible in the regime characterised by higher oil price inflation. Using a simple DSGE model, we suggest that …

general and can be used to measure the informational importance of observables with respect to latent variables in DSGE models …

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling …

1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative … and larger in magnitude. We use an estimated DSGE model to show that this change is consistent with a switch from an …