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This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
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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 … used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …
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shocks to the real interest rate. The common theme among these identifications is a technological change in productivity that …
Persistent link: https://www.econbiz.de/10009229732
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10010361372
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10010364697