Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/224154
Authors: 
Bolboaca, Maria
Fischer, Sarah
Year of Publication: 
2019
Series/Report no.: 
Working Paper No. 19.01
Abstract: 
This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel approach to impose these restrictions in a nonlinear model using the generalized forecast error variance decomposition. We compute generalized impulse response functions that allow for regime transition and find evidence of state-dependency. The results also indicate that the probability of a regime switch is highly influenced by the news shocks.
Subjects: 
smooth transition vector autoregressive model
nonlinear time-series model
news shock
generalized impulse responses
generalized forecast error variance decomposition
JEL: 
E32
C32
C51
O47
Document Type: 
Working Paper

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