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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes
Velinov, Anton - 2013
Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...
Persistent link: https://www.econbiz.de/10010229662
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...
Persistent link: https://www.econbiz.de/10010349257
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Expected money growth, Markov trends and the instability of money demand in the euro area
Kaufmann, Sylvia; Kugler, Peter - 2007 - This version: December 2007
with a switching intercept term. Of course, this likely leads to a rejection of cointegration by standard tests and to the …
Persistent link: https://www.econbiz.de/10011570250
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Stochastic model specification in Markov switching vector error correction models
Huber, Florian; Pfarrhofer, Michael; Zörner, Thomas - 2018
assume that transition probabilities between expansion and recession regimes are driven by the cointegration errors. Our … findings suggest that lagged cointegration errors have predictive power for regime shifts and these movements between business …
Persistent link: https://www.econbiz.de/10011929697
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Interest rate pass-through : a nonlinear vector error-correction approach
Popiel, Michal Ksawery - 2015
, this model permits estimation of long-run pass-through coefficients while simultaneously accounting for asymmetric …
Persistent link: https://www.econbiz.de/10011392140
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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State-dependent monetary policy regimes
Zakipour-Saber, Shayan - 2019
Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority's stance on inflation. I take advantage of recent developments in solving rational...
Persistent link: https://www.econbiz.de/10011975606
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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity...
Persistent link: https://www.econbiz.de/10014422351
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Testing an Augmented Fisher Hypothesis for Money Market Interest Rates in Finland
Junttila, Juha-Pekka - 1998
(1997). The use of cointegration techniques enables to include this generated regressor to the estimation equation, because … asymptotically vanishes when unit root methods are applied. In this work the primary method in the cointegration analysis is the … Johansen procedure, which is based on maximum likelihood estimation. Furthermore, we also apply Kalman filtering to the …
Persistent link: https://www.econbiz.de/10014070202