Schleer, Frauke; Semmler, Willi - 2013
Vector Smooth Transition Autoregressive (VSTAR) model for investigating instabilities in the financial sector-output linkages …-switching takes place rather smoothly which dampens the negative output response after a shock in the financial sector in the selected … non-linearities in the financial sector-output nexus as unambiguous feature. In particular, we show that the negative …