Huber, Florian, Fischer, Manfred M. 2018. A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy. Oxford Bulletin of Economics and Statistics, 80 (3), 575-604.
BibTeX
Abstract
This paper develops a Markov switching factor-augmented vector autoregression to investigate the transmission mechanisms of monetary policy for distinct stages of the US business cycle. We assume that autoregressive parameters and covariance matrices of the error terms are regime dependent, driven by an unobserved Markov indicator. Endogenously determined transition probabilities are governed by an underlying probit model that features a large set of possible predictors. The empirical findings provide evidence for differences in the transmission of monetary policy shocks that mainly stem from heterogeneity in the responses of financial market quantities.
Tags
Press 'enter' for creating the tagPublication's profile
Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Oxford Bulletin of Economics and Statistics |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, VW-C, WH-B |
Language | English |
Title | A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy |
Volume | 80 |
Number | 3 |
Year | 2018 |
Page from | 575 |
Page to | 604 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.1111/obes.12227 |
Open Access | N |
JEL | C30, E52, F41, E32 |
Associations
- People
- Huber, Florian (Former researcher)
- Fischer, Manfred M. (Details)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Institute for Economic Geography and GIScience IN (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 1145 Time series analysis (Details)
- 5300 Economics (Details)
- 5323 Econometrics (Details)
- 5371 Macroeconomics (Details)