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Growth, Saving, Financial Markets, and Markov Switching Regimes Author info | Abstract | Publisher info | Download info | Related research | Statistics Tor Jacobson (Sveriges Riksbank)
Thomas Lindh (Uppsala University)
Anders Warne (European Central Bank)
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registered author(s):
We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence may be interpreted as support for a hypothesis that the relation between financial development and growth evolves in a stepwise fashion. Theoretical models in which structural financial developments entail fixed costs imply such stepwise patterns. The estimated variable relations are roughly consistent with the patterns to be expected from such models, although our data do not admit definite conclusions. The timing of the shifts coincides with changes in regulation and in the financial-market structure.
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Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics .
Volume (Year): 5 (2002)
Issue (Month): 4 ()
Pages: 1081-1081
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Keywords: growth Markov switching saving structural financial development vector autoregression. Other versions of this item:
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Andersson, Björn, 1999.
"On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity ,"
Working Paper Series
1999:18, Uppsala University, Department of Economics.
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Anders Warne & Anders Vredin, 2006.
"Unemployment and Inflation Regimes ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 10(2), pages 1280-1280.
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