CMStatistics 2016: Start Registration
View Submission - CFE
Title: News shocks: Different effects in boom and recession Authors:  Fischer Sarah - University of Bern (Switzerland) [presenting]
Maria Bolboaca - Study Center Gerzensee and University of Bern (Switzerland)
Abstract: The nonlinearity in the effects of news shocks about technological innovations is investigated. In a maximally flexible 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 influenced by the news shocks.