Multi-Regime Common Cyclical Features

In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This approach is illustrated by analyzing the stability of the McCallum''s (1994) monetary policy reaction function for Danish data.

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Year of publication:	2002
Authors:	Candelon, Bertrand ; Hecq, Alain
Institutions:	Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Subject:	Economics

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Extent:	application/pdf
Series:	Research Memoranda.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Research Memoranda Number 054
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005304987