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  • Search: subject:"Interest rate effect"
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Year of publication
Subject
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EMU 1 GMM 1 Hidden Markov Model 1 Interest rate effect 1 Regime Switching 1 Variable-dependent regime duration 1 competitiveness channel 1 euro area heterogeneity 1 real interest rate effect 1 solution of RE models 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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English 2
Author
All
Ntantamis, Christos 1 Toroj, Andrzej 1
Institution
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Narodowy Bank Polski 1 School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 National Bank of Poland Working Papers 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
Ntantamis, Christos - School of Economics and Management, University of Aarhus - 2010
This paper introduces a Duration Hidden Markov Model to model bull and bear market regime switches in the stock market; the duration of each state of the Markov Chain is a random variable that depends on a set of exogenous variables. The model not only allows the endogenous determination of the...
Persistent link: https://www.econbiz.de/10008525436
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Cover Image
Macroeconomic adjustment and heterogeneity in the euro area
Toroj, Andrzej - Narodowy Bank Polski - 2009
New Keynesian empirical literature. They also suggest that the risk of the real interest rate effect is additionally …
Persistent link: https://www.econbiz.de/10009641435
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