shocks to asset prices and real exchange rate on the current imbalances. The paper employs a structural VAR methodology with … short-run restrictions. The estimates of structural VAR models are able to identify interactions among asset prices, real … exchange rate, and the current account. The estimated results from two structural models show that the responses of current …

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural … findings. Using SVAR impulse responses and forecast error variance decompositions we further examine the structural shocks and … confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …

generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural … innovations and the variables themselves. By formulating the MSVAR as an extended linear non-Gaussian VAR for the combination of …