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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

Persistent link: https://www.econbiz.de/10003787630

Identifying monetary policy shocks via changes in volatility

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2006

Persistent link: https://www.econbiz.de/10003338299

Structural vector autoregressions with Markov switching

Lanne, Markku; Lütkepohl, Helmut; Maciejowska, Katarzyna - 2009

Persistent link: https://www.econbiz.de/10003825416

Structural vector autoregressions with Markov switching

Lanne, Markku; Lütkepohl, Helmut; Maciejowska, Katarzyna - In: Journal of economic dynamics & control 34 (2010) 2, pp. 121-131

Persistent link: https://www.econbiz.de/10003947631

Identifying monetary policy shocks via changes in volatility

Lanne, Markku; Lütkepohl, Helmut - In: Journal of money, credit and banking : JMCB 40 (2008) 6, pp. 1131-1149

Persistent link: https://www.econbiz.de/10003745912

Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...