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Monetary Policy in a Markov-Switching Vector Error-Correction Model: Implications for the Cost of Disinflation and the Price Puzzle

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  • Francis, Neville
  • Owyang, Michael T.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 23 (2005)
Issue (Month): (July)
Pages: 305-313

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Handle: RePEc:bes:jnlbes:v:23:y:2005:p:305-313

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Cited by:
  1. Zsolt Darvas, 2012. "Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions," Working Papers 722, Bruegel.
  2. Joscha Beckmann & Robert Czudaj, 2013. "Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?," Ruhr Economic Papers 0431, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  3. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, Reading University.
  4. Collard, Fabrice & Fève, Patrick & Matheron, Julien, 2007. "The Dynamic Effects of Disinflation Policies," IDEI Working Papers 426, Institut d'Économie Industrielle (IDEI), Toulouse.
  5. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  6. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.

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