Showing 1 - 10 of 32
We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence...
Persistent link: https://www.econbiz.de/10014620852
In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. To interpret...
Persistent link: https://www.econbiz.de/10014620947
This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets and Wouters (2012), estimated on euro area data. It investigates the extent to which the inclusion of forecasts of inflation, GDP growth and unemployment by professional forecasters improve...
Persistent link: https://www.econbiz.de/10011051441
This note examines the asymptotic properties of the Wald statistic in vector autoregressions (VAR) that may have unit roots. Within this framework we extend the theoretical results to nonlinear restrictions. As an example we study constraints derived from linear(ized) rational expectations...
Persistent link: https://www.econbiz.de/10010835684
We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence...
Persistent link: https://www.econbiz.de/10004966091
In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. To interpret...
Persistent link: https://www.econbiz.de/10004966107
We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence...
Persistent link: https://www.econbiz.de/10005751419
In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. To interpret...
Persistent link: https://www.econbiz.de/10005246281
Persistent link: https://www.econbiz.de/10005322463
Persistent link: https://www.econbiz.de/10001769753