Quotation 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.


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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.

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Publication'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 (Details)
Fischer, Manfred M. (Details)
Organization
Institute for Macroeconomics IN (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)
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