Browsing Arbeidsnotater / Working Papers by Subject "heteroskedasticity"
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Does Monetary Policy React to Asset Prices? Some International Evidence
(Working Papers;7/2008, Working paper, 2008)This paper attempts to measure the reaction of monetary policy to the stock market. We apply the procedure of Rigobon and Sack (2003) to identify and estimate a VAR in the presence of heteroskedasticity. This procedure ...