The paper presents a bivariate SVAR model including growth rates of industrial production and of stock prices. Imposing a long-run restriction à la Blanchard and Quah (1989) that excludes long-run influences of the stock market on real activity allows to decompose stock prices in a fundamental and a nonfundamental component. The results of the forecast error variance decompositions as well as o...

We examine the different effects of monetary policy actions and central bank communication on China's stock market bubbles with a Time-varying Parameter SVAR model. We find that with negative responses of fundamental component and positive responses of bubble component of asset prices, contractionary monetary policy induces the observed stock prices to rise during periods of large bubbles. By c...

Structural vector autoregressive (SVAR) models are frequently applied to trace the contemporaneous linkages among (macroeconomic) variables back an interplay of orthogonal structural shocks. Under Gaussianity parameters unidentified without additional (often external and not data-based) information. In contrast, often reasonable assumption heteroskedastic and/or non-Gaussian model disturbances ...