Search Results - subject:"Switching Models"

Estimating regime-switching Taylor rules with trend inflation

Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide - 2008

This paper estimates regime-switching monetary policy rules featuring trend inflation using post-WWII US data. We find evidence in favour of regime shifts and time-variation of the inflation target. We also find a drop in the inflation gap persistence when entering the Great Moderation sample....

Persistent link: https://www.econbiz.de/10012148042

Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal

Manera, Matteo; Serati, Massimiliano; Plotegher, Michele - Fondazione ENI Enrico Mattei (FEEM) - 2008

values are left behind. Studies have been divided into three broad classes: Autoregressive models, Regime switching models …

Persistent link: https://www.econbiz.de/10005423103

Is it possible to discriminate between different switching regressions models? An empirical investigation

Charfeddine, Lanouar; Guegan, Dominique - HAL - 2008

Markov switching models of Hamilton (1989) and the Threshold Auto-Regressive Models (TAR) of Lim and Tong (1980). This work … is motivated by the fact that generally practicians use, in applications, switching models without any statistical … specially using large samples. This means that when the null hypothesis is rejected, it appears that different switching models …

Persistent link: https://www.econbiz.de/10010738508

Stabilization policies in Argentina: an analysis from the perspective of inflation uncertainty

Fellinger Jusué, Erica; Mancha Navarro, Tomás - Instituto Universitario de Análisis Económico y … - 2008

uncertainty is based on running Markov-Switching Models. This class of models can identify heterokedastic behaviors as well as …

Persistent link: https://www.econbiz.de/10010855123

La contagion liée au changement des anticipations : évidence de la crise coréenne

Khallouli, Wajih; Sandretto, René; Ayadi, Mohamed - Groupe d'Analyse et de Théorie Économique Lyon … - 2008

The object of this article, applied to the case of Korean currency crisis of 1997-1998, is to identify the contagion through an empirical study of the investor anticipations dynamics which is freed from the pseudo explanation hiding place misery by ‘sunspot’. To this end, we develop a,...

Persistent link: https://www.econbiz.de/10005056873

Estimating regime-switching Taylor rules with trend inflation

Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide - Suomen Pankki - 2008

Persistent link: https://www.econbiz.de/10005771145

Computing and testing a stable common currency for Mercosur countries

Viale, Ariel M.; Kolari, James W.; Hovanov, Nikolai V.; … - In: Journal of Applied Economics XI (2008) May, pp. 193-220

This paper develops a stable common currency for mid-sized open monetary economies with incomplete markets in general and the Mercosur countries in particular. The proposed currency is constructed as a derivative of a dynamic portfolio of securities that proxies the nominal exchange risk factors...

Persistent link: https://www.econbiz.de/10005627082

RESERVATION WAGES, LABOUR MARKET PARTICIPATION AND HEALTH

Brown, Sarah; Roberts, Jennifer; Taylor, Karl - Department of Economics, University of Sheffield - 2008

The concept of the reservation wage has played an important role in labour market theory; particularly in models of job search, labour supply and labour market participation. Despite this core theoretical role, there is a scarcity of empirical research which explores the setting of reservation...

Persistent link: https://www.econbiz.de/10005628501

Time-varying integration, the euro and international diversification strategy

Baele, Lieven; Inghelbrecht, Koen - Directorate-General Economic and Financial Affairs, … - 2008

This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures to vary with both structural changes and temporary fluctuations in the economic and financial...

Persistent link: https://www.econbiz.de/10008577506

The Spectral Representation of Markov-Switching Arma Models

Pataracchia, Beatrice - Dipartimento di Economia Politica e Statistics, … - 2008

In this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models. The procedure simply relies on the application of the Riesz-Fisher Theorem which describes the spectral density as the Fourier transform of...

Persistent link: https://www.econbiz.de/10005824324