Based on the hypothesis that the rulers of monetary and fiscal policy in Brazil may have been submitted to different regimes, the present study applies Leeper model (1991; 2005) in order to identify the chronology of policy regimes regarding their active and passive character. The policy rules are...

This paper predicts phases of the financial cycle by combining a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals...

In this paper we analyse to what extent the outward shift in the Portuguese Beveridge curve since 2007 has been due to structural or cyclical factors and how likely the outward shift will persist. We do this by empirically estimating the Beveridge curve in a Markov-switching panel setting with...

Abstract Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that...

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been...