Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the …, and fluctuations in trend GDP growth. In this paper, we put forward an extension of the standard Markov-Switching Dynamic … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …