Blagov, Boris; Funke, Michael - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2014
This paper takes seriously the idea that the coefficients of a VAR and the variance of shocks may be time-varying and so employs a Markov regime-switching VAR model to describe and analyse the time-varying credibility of Hong Kong’s currency board system. The endogenously estimated discrete...