Majandusteaduskonna teadusseminar 11. novembril
- Aeg:11.11.15 - 11.11.15
11. novembril kell 16.00 toimub ruumis SOC-415 majandusteaduskonna teadusseminar.
Seminar toimub inglise keeles.
Aleksei Netsunajev, Free University of Berlin (co-author Helmut Lütkepohl, DIW Berlin and Free University of Berlin) will present: "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction Between U.S. Monetary Policy and the Stock Market"
Abstract: In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modeling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more flexible models based on GARCH or Markov switching residuals are difficult to handle from a statistical and computational point of view. Therefore we propose a model based on a smooth change in variance that is flexible 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.
Lisainfo: karsten dot staehr at ttu dot ee