This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model...

This paper investigates the expectations hypothesis for the Japanese term structure of interest rates using vector error correction models with multiple structural breaks, focusing on how the breaks affect volatility, risk premium and speed of the adjustment toward the equilibrium. Using...

This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix. The proposed Bayesian method allows for estimation of the cointegrating...

This paper studies the implications of internal consumption habit for new Keynesian dynamic stochastic general equilibrium (NKDSGE) models. Bayesian Monte Carlo methods are employed to evaluate NKDSGE model fit. Simulation experiments show that consumption habit often improves the ability of...

This paper studies the implications of internal consumption habit for propagation and monetary transmission in New Keynesian dynamic stochastic general equilibrium (NKDSGE) models. We use Bayesian methods to evaluate the role of internal consumption habit in NKDSGE model propagation and monetary...