Search Results - subject:"changes in regime"

Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models

Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86

Persistent link: https://www.econbiz.de/10012222592

Autocovariance and Linear Transformations of Markov Switching VARMA Processes

Cavicchioli, Maddalena - In: Central European Journal of Economic Modelling and … 6 (2014) 4, pp. 275-289

We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p*, q*) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This...

Persistent link: https://www.econbiz.de/10011194513

Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area

Monica, Billio; Maddalena, Cavicchioli - In: Rivista italiana degli economisti (2014) 2, pp. 253-276

Business cycle models are often investigated by using reduced form time series models, other than (or in alternative to) structural highly grounded in economic theory models. Reduced form VARMA with fixed parameters play a key role in business cycle analysis, but it is often found that by their...

Persistent link: https://www.econbiz.de/10010819402

“Determining the Number of Regimes in Markov-Switching VAR and VMA Models”

Cavicchioli, Maddalena - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013

We give stable finite order VARMA(p*; q*) representations for M-state Markov switching second-order stationary time series whose autocovariances satisfy a certain matrix relation. The upper bounds for p* and q* are elementary functions of the dimension K of the process, the number M of regimes,...

Persistent link: https://www.econbiz.de/10010631765

Chapter 3. Macroeconomic Regimes and Regime Shifts

Hamilton, J.D. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 163-201). 2016

, and currency crises. Such changes in regime may arise from tipping points or other nonlinear dynamics and are core to some … econometric analysis of time series that are subject to changes in regime. Section 3 discusses theoretical treatment of … macroeconomic models with changes in regime and reviews applications in a number of areas of macroeconomics. Some brief concluding …

Persistent link: https://www.econbiz.de/10014024290

Business cycle and Markov switching models with distributed lags : a comparison between US and euro area

Billio, Monica; Cavicchioli, Maddalena - In: Rivista italiana degli economisti : the journal of the … 19 (2014) 2, pp. 253-276

Persistent link: https://www.econbiz.de/10010407958

Autocovariance and linear transformations of Markov switching VARMA processes

Cavicchioli, Maddalena - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 275-289

Persistent link: https://www.econbiz.de/10010503008

Credibility and Signaling in Disinflation- a Cross Country Examination

RUGE-MURCIA, Francisco J. - Département de Sciences Économiques, Université de … - 1997

This paper develops a model of money demand where the opportunity cost of holding money is subject to regime changes. The regimes are fully characterized by the mean and variance of inflation and are assumed to be the result of alternative government policies. Agents are unable to directly...

Persistent link: https://www.econbiz.de/10005353239

The effects of learning and signaling on money demand: With an application to heterodox inflation stabilization programs

Ruge-Murcia, Francisco J. - In: Empirical Economics 25 (2000) 1, pp. 61-91

This paper develops a nonlinear vector autoregression of inflation and money growth subject to changes in regime. The …

Persistent link: https://www.econbiz.de/10005382345