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Citations for "Methods for inference in large multiple-equation Markov-switching models"

by Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao

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  1. Hubrich, Kirstin & Tetlow, Robert J., 2015. "Financial stress and economic dynamics: The transmission of crises," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 100-115.
  2. Helmut Luetkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo Group Munich.
  3. Nason, James M. & Tallman, Ellis W., 2015. "Business Cycles And Financial Crises: The Roles Of Credit Supply And Demand Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 19(04), pages 836-882, June.
  4. Francesco Bianchi, 2009. "Regime Switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics," 2009 Meeting Papers 198, Society for Economic Dynamics.
  5. LI, XI HAO & Gallegati, Mauro, 2015. "Stock-Flow Dynamic Projection," MPRA Paper 62047, University Library of Munich, Germany.
  6. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
  7. Xiaoshan Che & Eric M. Leepe & Campbell Leith, 2015. "US Monetary and Fiscal Policies - conflict or cooperation?," Working Papers 2015_14, Business School - Economics, University of Glasgow.
  8. Blagov, Boris & Funke, Michael, 2013. "The regime-dependent evolution of credibility : A fresh look at Hong Kong s linked exchange rate system," BOFIT Discussion Papers 24/2013, Bank of Finland, Institute for Economies in Transition.
  9. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  10. Dmitry Kulikov & Aleksei Netšunajev, 2016. "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2015-8, Bank of Estonia, revised 19 Feb 2016.
  11. Francesco Bianchi, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
  12. Chen, Xiaoshan & Leeper, Eric M. & Leith, Campbell, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-77, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  13. Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.
  14. Kagraoka, Yusho & Moussa, Zakaria, 2013. "Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 181-201.
  15. Daniel F. Waggoner & Tao Zha, 2012. "Confronting Model Misspecification in Macroeconomics," NBER Working Papers 17791, National Bureau of Economic Research, Inc.
  16. James D. Hamilton & Michael T. Owyang, 2009. "The propagation of regional recessions," Working Papers 2009-013, Federal Reserve Bank of St. Louis.
  17. Jon R. Moen & Ellis W. Tallman, 1994. "Clearinghouse access and bank runs: trust companies in New York and Chicago during the Panic of 1907," FRB Atlanta Working Paper 94-12, Federal Reserve Bank of Atlanta.
  18. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land Prices and Unemployment," NBER Working Papers 19382, National Bureau of Economic Research, Inc.
  19. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
  20. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
  21. 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.
  22. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
  23. Jushan Bai & Peng Wang, 2011. "Conditional Markov chain and its application in economic time series analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 715-734, 08.
  24. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
  25. Xiaoshan Chen & Tatiana Kirsanova & Campbell Leith, 2014. "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," Working Papers 2014_19, Business School - Economics, University of Glasgow.
  26. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2010. "Sources of Macroeconomic Fluctuations: A Regime-switching DSGE Approach," Emory Economics 1002, Department of Economics, Emory University (Atlanta).
  27. Xianguo Huang & Roberto Leon-Gonzalez & Somrasri Yupho, 2012. "Financial Integration from a Time-Varying Cointegration Perspective," GRIPS Discussion Papers 12-07, National Graduate Institute for Policy Studies.
  28. repec:onb:oenbwp:y::i:144:b:1 is not listed on IDEAS
  29. Helmut Lütkepohl, 2013. "Reducing confidence bands for simulated impulse responses," Statistical Papers, Springer, vol. 54(4), pages 1131-1145, November.
  30. Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J., 2013. "Melting down: Systemic financial instability and the macroeconomy," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80487, Verein für Socialpolitik / German Economic Association.
  31. Chen, Xiaoshan & MacDonald, Ronald, 2011. "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," SIRE Discussion Papers 2011-21, Scottish Institute for Research in Economics (SIRE).
  32. Alfred Duncan & Charles Nolan, 2014. "Disputes, Debt and Equity," Working Papers 2014_20, Business School - Economics, University of Glasgow.
  33. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
  34. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
  35. Bognanni, Mark & Herbst, Edward, 2015. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Finance and Economics Discussion Series 2015-116, Board of Governors of the Federal Reserve System (U.S.).
  36. Christopher A. Sims, 2005. "Improving monetary policy models," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  37. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
  38. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
  39. Brandt, Patrick T. & Freeman, John R. & Schrodt, Philip A., 2014. "Evaluating forecasts of political conflict dynamics," International Journal of Forecasting, Elsevier, vol. 30(4), pages 944-962.
  40. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, 04.
  41. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
  42. Morozov, Sergei & Mathur, Sudhanshu, 2009. "Massively parallel computation using graphics processors with application to optimal experimentation in dynamic control," MPRA Paper 30298, University Library of Munich, Germany, revised 04 Apr 2011.
  43. Kirsanova, Tatiana & Leith, Campbell & Chen, Xiaoshan, 2013. "How Optimal is US Monetary Policy?," SIRE Discussion Papers 2013-53, Scottish Institute for Research in Economics (SIRE).
  44. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
  45. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
  46. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
  47. Nonejad, Nima, 2014. "Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks," MPRA Paper 55664, University Library of Munich, Germany.
  48. Choi, Jinho & Hur, Joonyoung, 2015. "An examination of macroeconomic fluctuations in Korea exploiting a Markov-switching DSGE approach," Economic Modelling, Elsevier, vol. 51(C), pages 183-199.
  49. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," FRB Atlanta Working Paper 2014-21, Federal Reserve Bank of Atlanta.
  50. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
  51. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2014. "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-04, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  52. Andrew Binning & Junior Maih, 2015. "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Paper 2015/17, Norges Bank.
  53. Lhuissier, Stéphane & Zabelina, Margarita, 2015. "On the stability of Calvo-style price-setting behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 77-95.
  54. Danilo Leiva-Leon, 2014. "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," Staff Working Papers 14-38, Bank of Canada.
  55. Bianchi, Francesco, 2013. "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers 9705, C.E.P.R. Discussion Papers.
  56. Kim, Chang-Jin, 2009. "Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure," Journal of Econometrics, Elsevier, vol. 148(1), pages 46-55, January.
  57. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
  58. Mathur, Sudhanshu & Morozov, Sergei, 2009. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," MPRA Paper 16721, University Library of Munich, Germany.
  59. Sofiane Aboura & Björn van Roye, 2013. "Financial stress and economic dynamics: an application to France," Kiel Working Papers 1834, Kiel Institute for the World Economy.
  60. Sergei Morozov & Sudhanshu Mathur, 2012. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," Computational Economics, Society for Computational Economics, vol. 40(2), pages 151-182, August.
  61. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  62. Benoît Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
  63. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
  64. Blagov , Boris & Funke, Michael, 2013. "The regime-dependent evolution of credibility: A fresh look at Hong Kong’s linked exchange rate system," BOFIT Discussion Papers 24/2013, .
  65. Vladimir Dombrovskii & Tatyana Obyedko, 2014. "Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control," Papers 1410.1136, arXiv.org.
  66. Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
  67. Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009.
  68. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
  69. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
  70. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
  71. Ji, Yangyang & Xiao, Wei, 2016. "Government spending multipliers and the zero lower bound," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 87-100.
  72. Sylvia Kaufmann, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
  73. Troug, Haytem Ahmed & Murray, Matt, 2015. "Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach," MPRA Paper 68706, University Library of Munich, Germany.
  74. Lilia Maliar, 2015. "Assessing gains from parallel computation on a supercomputer," Economics Bulletin, AccessEcon, vol. 35(1), pages 159-167.
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