To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

I explore the time-varying effects of the multi-dimensional aspect of monetary policy on asset prices and macroeconomic variables using a time-varying factor-augmented vector autoregressive model. I decompose monetary policy into three dimensions: current monetary policy stance, FOMC...