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Perturbation Methods for Markov-Switching Models

Citations

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Cited by:

  1. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
  2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
  3. Philippopoulos, Apostolis & Varthalitis, Petros & Vassilatos, Vanghelis, 2015. "Optimal fiscal and monetary policy action in a closed economy," Economic Modelling, Elsevier, vol. 48(C), pages 175-188.
  4. Smith, A. Lee, 2016. "When does the cost channel pose a challenge to inflation targeting central banks?," European Economic Review, Elsevier, vol. 89(C), pages 471-494.
  5. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  6. repec:tpr:restat:v:100:y:2018:i:1:p:187-202 is not listed on IDEAS
  7. Foerster, Andrew T. & Choi, Jason, 2016. "Optimal monetary policy regime switches," Research Working Paper RWP 16-7, Federal Reserve Bank of Kansas City.
  8. Junior Maih, 2014. "Efficient Perturbation Methods for Solving Regime-Switching DSGE Models," Working Papers No 10/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  9. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
  10. Andrew Binning & Junior Maih, 2015. "Sigma point filters for dynamic nonlinear regime switching models," Working Paper 2015/10, Norges Bank.
  11. Francesco Bianchi & Leonardo Melosi, 2018. "Constrained Discretion and Central Bank Transparency," The Review of Economics and Statistics, MIT Press, vol. 100(1), pages 187-202, March.
  12. Barthélemy, Jean & Marx, Magali, 2017. "Solving endogenous regime switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 1-25.
  13. Andrew T. Foerster, 2016. "Monetary Policy Regime Switches And Macroeconomic Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57, pages 211-230, February.
  14. Martin Kuncl, 2016. "Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases," Staff Working Papers 16-46, Bank of Canada.
  15. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
  16. Mehmet Balcilar & Rangan Gupta & Kevin Kotzé, 2017. "Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model," Empirical Economics, Springer, vol. 53(1), pages 117-135, August.
  17. repec:eee:macchp:v2-1641 is not listed on IDEAS
  18. Smith, Andrew Lee, 2015. "When does the cost channel pose a challenge to inflation targeting central banks?," Research Working Paper RWP 15-6, Federal Reserve Bank of Kansas City.
  19. Kapetanios, George & Millard, Stephen & Price, Simon & Petrova, Katerina, 2018. "Time varying cointegration and the UK Great Ratios," Essex Finance Centre Working Papers 23320, University of Essex, Essex Business School.
  20. repec:eee:dyncon:v:80:y:2017:i:c:p:1-16 is not listed on IDEAS
  21. repec:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1256-z is not listed on IDEAS
  22. repec:eee:ecolet:v:172:y:2018:i:c:p:138-142 is not listed on IDEAS
  23. Andrew Binning & Junior Maih, 2017. "Modelling Occasionally Binding Constraints Using Regime-Switching," Working Paper 2017/23, Norges Bank.
  24. Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2018. "Forecasting with Second-Order Approximations and Markov Switching DSGE Models," Working Papers 201862, University of Pretoria, Department of Economics.
  25. Lilia Maliar & Serguei Maliar & John Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," NBER Working Papers 21155, National Bureau of Economic Research, Inc.
  26. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.
  27. repec:eee:ecmode:v:66:y:2017:i:c:p:163-170 is not listed on IDEAS
  28. Petrova, Katerina & Kapetanios, George & Masolo, Riccardo & Waldron, Matthew, 2017. "A time varying parameter structural model of the UK economy," Bank of England working papers 677, Bank of England.
  29. repec:eee:dyncon:v:93:y:2018:i:c:p:277-296 is not listed on IDEAS
  30. Ajevskis Viktors, 2017. "Semi-global solutions to DSGE models: perturbation around a deterministic path," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-28, April.
  31. Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, Elsevier.
  32. Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (US).
  33. Foerster, Andrew T., 2015. "Financial crises, unconventional monetary policy exit strategies, and agents׳ expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 191-207.
  34. Guido Ascari & Anna Florio & Alessandro Gobbi, 2017. "High Trend Inflation and Passive Monetary Detours," DEM Working Papers Series 135, University of Pavia, Department of Economics and Management.
  35. Andrew Foerster & Troy Davig, 2014. "Uncertainty and Fiscal Cliffs," 2014 Meeting Papers 717, Society for Economic Dynamics.
  36. Guido Ascari & Anna Florio & Alessandro Gobbi, 2016. "Monetary and Fiscal Policy Interactions: Leeper (1991) Redux," Economics Series Working Papers 788, University of Oxford, Department of Economics.
  37. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
  38. Klaus Neusser, 2018. "The New Keynesian Model with Stochastically Varying Policies," Diskussionsschriften dp1801, Universitaet Bern, Departement Volkswirtschaft.
  39. Castelnuovo, Efrem & Pellegrino, Giovanni, 2018. "Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 277-296.
  40. Martin Schneider & Cosmin Ilut & Francesco Bianchi, 2013. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," 2013 Meeting Papers 202, Society for Economic Dynamics.
  41. 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.
  42. repec:cml:incocp:5en-6 is not listed on IDEAS
  43. Ascari, Guido & Florio, Anna & Gobbi, Alessandro, 2017. "Controlling inflation with switching monetary and fiscal policies: expectations, fiscal guidance and timid regime changes," Research Discussion Papers 9/2017, Bank of Finland.
  44. Sebastián Cadavid Sánchez, 2018. "Monetary policy and structural changes in Colombia, 1990-2016: A Markov Switching approach," Documentos CEDE 016970, Universidad de los Andes - CEDE.
  45. สิทธิยศ, ฐิติเทพ & ธัญลักษณ์ภาคย์, เกษรา, 2014. "การทดสอบข้อสมมติของทฤษฎีเศรษฐศาสตร์เกี่ยวกับความมีเหตุผลของมนุษย์: หลักฐานเชิงประจักษ์จากการทดลองในระบบปิด
    [Testing Rationality Assumptions in Economic Theory: Evidence from Closed Experiment]
    ," MPRA Paper 74878, University Library of Munich, Germany, revised 05 Jan 2015.
  46. repec:fip:fedkrw:15-06 is not listed on IDEAS
  47. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
  48. Chen, Han, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (US).
  49. repec:eee:ecosta:v:8:y:2018:i:c:p:204-230 is not listed on IDEAS
  50. Bianchi, Francesco & Kung, Howard & Tirskikh, Mikhail, 2019. "The Origins and Effects of Macroeconomic Uncertainty," CEPR Discussion Papers 13450, C.E.P.R. Discussion Papers.
  51. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
  52. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions," Working Papers 201523, School of Economics, University College Dublin.
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