Search Results - subject:"Switching Models"

Are the Effects of Monetary Policy Asymmetric?

Garcia, René; Schaller, Huntley - Carleton University, Department of Economics - 1999

This paper focuses on whether monetary policy has asymmetric effects. By building on the Markov switching model introduced by Hamilton (1989), we examine questions like: Does monetary policy have the same effect regardless of the current phase of economic fluctuations? Given that the economy is...

Persistent link: https://www.econbiz.de/10005838434

Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem

Maringer, Dietmar; Meyer, Mark - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 1, pp. 1469-1469

It has been shown in the literature that the task of estimating the parameters of nonlinear models may be tackled with optimization heuristics. Thus, we attempt to carry these intuitions over to the estimation procedure of smooth transition autoregressive (STAR, Teräsvirta, 1994) models by...

Persistent link: https://www.econbiz.de/10005046481

Should Policy Makers Worry about Asymmetries in the Business Cycle?

Boldin, Michael - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 4, pp. 203-220

This paper reconsiders the conventional use of econometric models, especially identified vector autoregressive models, in guiding monetary policy. The main question I explore is whether these models are seriously flawed because they ignore asymmetries in the business cycles. Toward that end,...

Persistent link: https://www.econbiz.de/10004966227

Using Markov-Switching Models to Identify the Link between Unemployment and Criminality

Fallahi, Firouz; Rodríguez, Gabriel - Département d'Économie / Department of Economics, … - 2007

Using Markov Switching Autoregressive models the behaviour of four crime variables and unemployment rate during the period of study is investigated and different regimes for each variable determined. Using some nonparametric measures such as the Concordance Index (Harding and Pagan, 2002) and...

Persistent link: https://www.econbiz.de/10005748710

Change in Regime and Markov Models

Swensen, Anders Rygh - 1997

In this paper we point out that using a two-state Markov chain to describe change in regime makes it difficult to interpret the model since there is a bias towards frequent shifts. However, by using a finite Markov chain with a transition matrix satisfying certain restrictions it is possible to...

Persistent link: https://www.econbiz.de/10011967976

Change in Regime and Markov Models

Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 1997

Persistent link: https://www.econbiz.de/10010678280

Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1995

established, such is not the case for the corresponding testing procedures. The Markov switching models raise a special problem … variable, the distributional theory proposed by Hansen (1991a) is applicable to Markov switching models under certain … assumptions. Based on this framework, we derive analytically, in the context of two-state Markov switching models, the asymptotic …

Persistent link: https://www.econbiz.de/10005627155

Prediction of Business Cycle Turning Points in Germany / Prognose konjunktureller Wendepunkte in Deutschland

Fritsche, Ulrich; Kuzin, Vladimir - In: Jahrbücher für Nationalökonomie und Statistik 225 (2005) 1, pp. 22-43

Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that …

Persistent link: https://www.econbiz.de/10014609025

Structural versus Temporary Drivers of Country and Industry Risk

Baele, Lieven; Inghelbrecht, Koen - EconWPA - 2005

This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total risk into a systematic and a country (industry)...

Persistent link: https://www.econbiz.de/10005408196

TESTING FOR REGIME SWITCHING IN SINGAPOREAN BUSINESS CYCLES

BREUNIG, ROBERT; STEGMAN, ALISON - In: The Singapore Economic Review (SER) 50 (2005) 01, pp. 25-34

We examine a Markov-Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov-Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify...

Persistent link: https://www.econbiz.de/10005047192