Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence
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DOI: 10.18651/RWP2023-09
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More about this item
Keywords
VAR models; threshold models; monetary policy;All these keywords.
JEL classification:
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2023-11-20 (Central Banking)
- NEP-ECM-2023-11-20 (Econometrics)
- NEP-ETS-2023-11-20 (Econometric Time Series)
- NEP-MON-2023-11-20 (Monetary Economics)
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