News Shocks: Different Effects in Boom and Recession?

Maria Bolboaca and Sarah Fischer ()
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Sarah Fischer: State Secretariat for Economic Affairs SECO, https://www.seco.admin.ch/seco/de/home.html

No 19.01, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally fl exible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel approach to impose these restrictions in a nonlinear model using the generalized forecast error variance decomposition. We compute generalized impulse response functions that allow for regime transition and find evidence of state-dependency. The results also indicate that the probability of a regime switch is highly infl uenced by the news shocks.

Pages: 47 pages
Date: 2019-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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