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dc.contributor.authorLanne, Markkuen_US
dc.contributor.authorLuetkepohl, Helmuten_US
dc.date.accessioned2008-09-16en_US
dc.date.accessioned2009-07-28T08:32:03Z-
dc.date.available2009-07-28T08:32:03Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/26452-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2407en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordCointegrationen_US
dc.subject.keywordMarkov regime switching modelen_US
dc.subject.keywordvector error correction modelen_US
dc.subject.keywordstructural vector autoregressionen_US
dc.subject.keywordmixed normal distributionen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwErwartungstheorieen_US
dc.subject.stwSchocken_US
dc.subject.stwBörsenkursen_US
dc.subject.stwProduktivitäten_US
dc.subject.stwMarkovscher Prozessen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleStock prices and economic fluctuations: a Markov switching structural vector autoregressive analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn577851055en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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