Resource title

Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis

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Resource description

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.

Resource author

Markku Lanne, Helmut Luetkepohl

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26452

Resource license

Adapt according to the presented license agreement and reference the original author.