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2014-06-17Buch DOI: 10.18452/4518
Structural VectorAutoregressions withSmooth Transition inVariances
The Interaction BetweenU.S. Monetary Policy andthe Stock Market
Lütkepohl, Helmut
Netsunajev, Aleksei
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more exible models based on GARCH or Markov switching residuals are diffcult to handle from a statistical and computational point of view. Therefore we propose a model based on a smooth change in variance that is exible as well as relatively easy to estimate. The model is applied to a five-dimensional system of U.S. variables to explore the interaction between monetary policy and the stock market. It is found that previously used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for. Shocks identified via heteroskedasticity have a different economic interpretation than the shocks identified using conventional methods.
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DOI
10.18452/4518
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https://doi.org/10.18452/4518
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