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Testing monetarism An econometric analysis of professor Stein's model of monetarism

✍ Scribed by Meghnad Desai


Publisher
Elsevier Science
Year
1981
Tongue
English
Weight
832 KB
Volume
3
Category
Article
ISSN
0165-1889

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## Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state mod