Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation
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- Stéphane Lhuissier, 2019. "Bayesian Inference for Markov-switching Skewed Autoregressive Models," Working papers 726, Banque de France.
- Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," Economics Working Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
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KeywordsUncertainty shocks; Regime switching; Financial frictions; Expectation effects.;
- 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
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-DGE-2019-04-01 (Dynamic General Equilibrium)
- NEP-ETS-2019-04-01 (Econometric Time Series)
- NEP-FDG-2019-04-01 (Financial Development & Growth)
- NEP-MAC-2019-04-01 (Macroeconomics)
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