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Published in:
2016 | OriginalPaper | Chapter
Estimates of Single-State VAR Models
Authors : Viola Fabbrini, Massimo Guidolin, Manuela Pedio
Published in: Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
Publisher: Palgrave Macmillan UK
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In this chapter, we estimate two single-state VAR models, one for the yield and one for the spread series described in Chapter 3. First, we describe our model specification search and identify two as the appropriate number of lags of the VAR for both the VAR-yield and the VAR-spread models. Second, we report the results of the estimation of the two VAR(2) models and comment on the significance and economic meaning of the coefficients.