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Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Working Paper No. 19.01
Verlag: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Zusammenfassung: 
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.
Schlagwörter: 
smooth transition vector autoregressive model
nonlinear time-series model
news shock
generalized impulse responses
generalized forecast error variance decomposition
JEL: 
E32
C32
C51
O47
Dokumentart: 
Working Paper

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