Date: 2008
Type: Working Paper
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
Working Paper, EUI ECO, 2008/29
LANNE, Markku, LUETKEPOHL, Helmut, Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis, EUI ECO, 2008/29 - https://hdl.handle.net/1814/9233
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/9233
ISSN: 1725-6704
Series/Number: EUI ECO; 2008/29
Publisher: European University Institute