Nonlinearities in the Transmission Between Financial Stress, Monetary Policy and the Business Cycle - a Threshold VAR Approach
This paper investigates nonlinear transmissions between financial stress, monetary policy and the business cycle. Using a threshold VAR model on Swedish quarterly data the presence of nonlinearities in aforementioned transmission is corroborated by the nonlinearity-test suggested by Hansen (1996). Further, a nonlinear impulse-response analysis reveals several results worthwhile mentioning; (i) sho
