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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26452
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| Title: | | Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis  |
| Authors: | | Lanne, Markku Luetkepohl, Helmut |
| Issue Date: | | 2008 |
| Series/Report no.: | | CESifo working paper 2407 |
| Abstract: | | 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 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 some previously used identification schemes can be rejected in our model setup. The results crucially depend on the measure used for total factor productivity. |
| Subjects: | | Cointegration Markov regime switching model vector error correction model structural vector autoregression mixed normal distribution |
| JEL: | | C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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