Macroeconomic modeling with asymmetric vector autoregressions

Keating, John W.

doi:10.1016/s0164-0704(00)00120-8

Cited by 28 publications

(31 citation statements)

References 35 publications

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“…In all simulations, the responses of money growth to both aggregate supply or demand shocks are insignificant. The point estimates of the negative (positive) response of money growth to positive supply (demand) shocks are consistent with more developed multivariate structural VAR models such as those in Keating (2000). In summary, asymmetries in the covariance function have been found to be a major contributory factor in producing these contrasting results.…”

Section: The Influence Of Demand and Supply Shocks On The Equity Risksupporting

confidence: 78%

The equity premium and the business cycle: the role of demand and supply shocks

Smith

Sørensen²,

Wickens

2009

Int. J Fin Econ

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This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We find that negative shocks are more important that positive shocks, and that supply shocks have a much greater impact than demand shocks. Copyright © 2009 John Wiley & Sons, Ltd.

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Section: The Influence Of Demand and Supply Shocks On The Equity Risksupporting

confidence: 78%

The equity premium and the business cycle: the role of demand and supply shocks

Smith

Sørensen²,

Wickens

2009

Int. J Fin Econ

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“…13 There is no compelling reason from economic theory that lag length should be the same for all variables in all equations. Furthermore, according to Keating (2000) parameters in asymmetric VARs frequently have smaller standard errors than symmetric VARs, suggesting that asymmetric VARs may obtain more efficient estimates. 14 Because of our limited sample size we set a maximum lag of 8 for both variables in the VAR.…”

Section: Testing Framework and Statistical Properties Of The Datasetmentioning

confidence: 99%

RETRACTED ARTICLE: Investor sentiment, stock market valuation and merger activity

Auer

Schuhmacher

2011

Int Rev Econ

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Using correlation analysis and Granger causality tests, we examine both the relationship between investor sentiment and quarterly merger activity and the relationship between stock market valuation and quarterly merger activity in the United States from 1984 to 2005 in order to analyze whether there is evidence consistent with the stock market driven acquisitions theory. Merger activity is split into stock, cash and mixed payment transactions and measured by number of transactions. The investor sentiment analysis supports all predictions of the stock market driven acquisitions theory, while the stock market valuation analysis supports the predictions of the stock market driven acquisitions theory only in majority. By conditioning our analysis on investor sentiment, we are able to provide some new information on the likelihood that behavioral arguments are supported by the data. To the best of our knowledge, this is the first paper investigating the relationship between investor sentiment and merger activity.

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“…Keating (1993Keating ( , 2000, for example, developed the asymmetric VAR (AVAR), which is a VAR allowing lag lengths to vary across variables in the model. The AVAR and UVAR models share a common trait: each equation in the model has exactly the same set of explanatory variables without cross equation restrictions.…”

Section: Asymmetric Varsmentioning

confidence: 99%