Advanced Search
MyIDEAS: Login

Citations for "Regime-dependent impulse response functions in a Markov-switching vector autoregression model"

by Ehrmann , Michael & Ellison, Martin & Valla, Natacha

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Guo, Feng & Chen, Carl R. & Huang, Ying Sophie, 2011. "Markets contagion during financial crisis: A regime-switching approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(1), pages 95-109, January.
  2. Frédéric Karamé & Alexandra Olmedo, 2010. "Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne 10-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  3. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002, Society for Computational Economics 274, Society for Computational Economics.
  4. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(8), pages 1479-1499.
  5. Karamé, F., 2012. "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Economics Letters, Elsevier, Elsevier, vol. 117(1), pages 230-234.
  6. Kandemir Kocaaslan, Ozge, 2013. "The causal link between energy and output growth: Evidence from Markov switching Granger causality," Energy Policy, Elsevier, Elsevier, vol. 63(C), pages 1196-1206.
  7. Idier, Julien & Avouyi-Dovi, Sanvi, 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Economics Papers from University Paris Dauphine 123456789/11156, Paris Dauphine University.
  8. Héctor M. Zárate Solano & Norberto Rodríguez Niño & Margarita Marín Jaramillo, 2012. "El tamaño de las empresas y la transmisión de la política monetaria en Colombia: una aplicación con la encuesta mensual de expectativas económicas," Borradores de Economia 721, Banco de la Republica de Colombia.
  9. Peter Tillmann, 2003. "The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 4, pages 409-431, November.
  10. Calza, Alessandro & Sousa, João, 2005. "Output and inflation responses to credit shocks: are there threshold effects in the euro area?," Working Paper Series, European Central Bank 0481, European Central Bank.
  11. Mittnik, Stefan & Semmler, Willi, 2012. "Regime dependence of the fiscal multiplier," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 83(3), pages 502-522.
  12. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, Elsevier, vol. 29(2), pages 431-449, June.
  13. Ehrmann, Michael, 2000. "Firm size and monetary policy transmission: evidence from German business survey data," Working Paper Series, European Central Bank 0021, European Central Bank.
  14. Ellison, Martin & Valla, Natacha, 2000. "Learning, uncertainty and central bank activism in an economy with strategic interactions," Working Paper Series, European Central Bank 0028, European Central Bank.
  15. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft dp1307, Universitaet Bern, Departement Volkswirtschaft.
  16. International Monetary Fund, 2010. "The Transmission Mechanism in Armenia," IMF Working Papers 10/270, International Monetary Fund.
  17. Binder, Michael & Gross, Marco, 2013. "Regime-switching global vector autoregressive models," Working Paper Series, European Central Bank 1569, European Central Bank.
  18. Beatrice D. Simo-Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012. "Is The Relationship Between Monetary Policy And House Prices Asymmetric In South Africa? Evidence From A Markov-Switching Vector Autoregressive Model," Working Papers 201222, University of Pretoria, Department of Economics.
  19. Carlo Altavilla & Luigi Landolfo, 2005. "Do central banks act asymmetrically? Empirical evidence from the ECB and the Bank of England," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(5), pages 507-519.
  20. Willi Semmler & Stefan Mittnik, 2012. "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012 4122, EcoMod.
  21. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers, Banque de France 295, Banque de France.
  22. Fujiwara, Ippei, 2006. "Evaluating monetary policy when nominal interest rates are almost zero," Journal of the Japanese and International Economies, Elsevier, vol. 20(3), pages 434-453, September.
  23. Dimitris A. Georgoutsos & Petros M. Migiakis, 2009. "Benchmark bonds interactions under regime shifts," Working Papers 103, Bank of Greece.
  24. Karamé, F., 2010. "Impulse-response functions in Markov-switching structural vector autoregressions: A step further," Economics Letters, Elsevier, Elsevier, vol. 106(3), pages 162-165, March.
  25. Tillmann, Peter, 2004. "External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(5), pages 439-454, December.
  26. Dufrénot, G. & Triki, K., 2012. "Why have governments succeeded in reducing French public debt historically and can these successes inspired us for the future? An historical perspective since 1890," Working papers, Banque de France 386, Banque de France.
  27. Korhonen, Tapio, 2001. "Finnish monetary and foreign exchange policy and the changeover to the euro," Research Discussion Papers, Bank of Finland 25/2001, Bank of Finland.
  28. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  29. Jorge Andrés Tamayo Castaño, 2012. "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," BORRADORES DE ECONOMIA 009286, BANCO DE LA REPÚBLICA.
  30. Cozmanca,Bogdan-Octavian & Manea, Florentina, 2009. "Asymmetries in the exchange rate pass-through into Romanian price indices," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting 092201, Institute for Economic Forecasting.
  31. Angelos Kanas & Christos Ioannidis, 2010. "Causality from real stock returns to real activity: evidence of regime-dependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(2), pages 180-197.
  32. Kanas, Angelos, 2005. "Real or monetary? The US/UK real exchange rate, 1921-2002," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 15(1), pages 21-38, January.
  33. Giorgio Valente, 2003. "Monetary policy rules and regime shifts," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(7), pages 525-535.
  34. Avouyi-Dovi, S. & Idier, J., 2011. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Working papers, Banque de France 339, Banque de France.
  35. Ibrahim Chowdhury & Gregory Gadzinski & Mathias Hoffmann, 2004. "Asymmetric Dynamics in the Current Account: Evidence from Long-Horizon Data," Working Paper Series in Economics, University of Cologne, Department of Economics 13, University of Cologne, Department of Economics.
  36. Christophe Schalck, 2007. "Effects of Fiscal Policies in Four European Countries: A Non-linear Structural VAR Approach," Economics Bulletin, AccessEcon, vol. 5(22), pages 1-7.
  37. Mehmet Balcilar & Rangan Gupta & Charl Jooste, 2014. "Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter," Working Papers 201440, University of Pretoria, Department of Economics.
  38. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics, EconWPA 0409007, EconWPA.
  39. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(1-2), pages 135-158, January.
  40. repec:ebl:ecbull:v:5:y:2007:i:22:p:1-7 is not listed on IDEAS
  41. Girardin, Eric & Moussa, Zakaria, 2011. "Quantitative easing works: Lessons from the unique experience in Japan 2001–2006," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 21(4), pages 461-495, October.
  42. Cozmanca, Bogdan-Octavian & Manea, Florentina, 2010. "Exchange Rate Pass-Through into Romanian Price Indices. Avar Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 26-52, September.
  43. Utku Akseki & Abdurrahman Nazif Çatık & Barış Gök, 2014. "A regime-dependent investigation of the impact of macroeconomic variables on the housing market activity in Turkey," Economics Bulletin, AccessEcon, vol. 34(2), pages 1081-1090.
  44. Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2009. "Testing Habits In An Asset Pricing Model," Working Papers, CREI Università degli Studi Roma Tre 0509, CREI Università degli Studi Roma Tre, revised 2009.
  45. Simo-Kengne, Beatrice D. & Balcilar, Mehmet & Gupta, Rangan & Reid, Monique & Aye, Goodness C., 2013. "Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 161-171.
  46. Ippei Fujiwara, 2003. "Has the effect of monetary policy changedduring 1990s?: An Application of Identified Markov Switching Vector Autoregression to the Impulse Response Analysis When the Nominal Interest Rate is Almost Ze," Discussion Papers in Economics and Business 03-08, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  47. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.