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dc.contributor.authorLanne, Markkuen
dc.contributor.authorLuetkepohl, Helmuten
dc.date.accessioned2008-09-16-
dc.date.accessioned2009-07-28T08:32:03Z-
dc.date.available2009-07-28T08:32:03Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2407en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordCointegrationen
dc.subject.keywordMarkov regime switching modelen
dc.subject.keywordvector error correction modelen
dc.subject.keywordstructural vector autoregressionen
dc.subject.keywordmixed normal distributionen
dc.subject.stwKonjunkturen
dc.subject.stwErwartungstheorieen
dc.subject.stwSchocken
dc.subject.stwBörsenkursen
dc.subject.stwProduktivitäten
dc.subject.stwMarkovscher Prozessen
dc.subject.stwVAR-Modellen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleStock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis-
dc.typeWorking Paperen
dc.identifier.ppn577851055en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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