Cross-effects of fundamental state variables

Research output: Contribution to journalArticle

12 Scopus citations

Abstract

This research is concerned with the transmission of shocks among fundamental state variables such as the stance of monetary policy, risk premia, and real output, as well as the S&P stock market index. The paper employs the newly developed technique of generalized impulse response analysis (Koop, et al. 1996; Pesaran and Shin 1998), a method that is particularly wellsuited to examine these interrelations because it does not impose a priori restrictions as to the relative importance each of these variables may play in the transmission process. The results identify important cross-effects among these factors as measured by their responses to unanticipated changes to each of the variables within the system.

Original languageEnglish
Pages (from-to)633-645
Number of pages13
JournalJournal of Macroeconomics
Volume23
Issue number4
DOIs
StatePublished - 2001

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