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Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but...
Persistent link: https://www.econbiz.de/10012774902
estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov … conditions. We propose a simple estimation procedure which follows the steps in the identification argument. The estimator is …
Persistent link: https://www.econbiz.de/10013249540
A Markov-switching model is fit for eighteen exchange rates at quarterly and monthly frequencies. This model fits well in-sample at the quarterly frequency for many exchange rates. By the mean-squared-error or mean-absolute-error criterion. the Markov model does not generate superior forecasts...
Persistent link: https://www.econbiz.de/10014157583
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10013118075
This paper provides a mathematical foundation for independent random matching of a large population, as widely used in the economics literature. We consider both static and dynamic systems with random mutation, partial matching arising from search, and type changes induced by matching. Under...
Persistent link: https://www.econbiz.de/10013121601
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10013106021
We evaluate dynamic oligopoly estimators with laboratory data. Using a stylized en-try/exit game, we estimate structural parameters under the assumption that the data are generated by a Markov-perfect equilibrium (MPE) and use the estimates to predict counterfactual behavior. The concern is that...
Persistent link: https://www.econbiz.de/10012841410
This paper describes a class of stochastic stabilizing policies within asset price regimes that can be easily incorporated into the framework of regime switching recently proposed by Froot and Obstfeld (1991). In contrast to previous treatments of market-driven fundamentals within the regime,...
Persistent link: https://www.econbiz.de/10012774988
This paper studies a New-Keynesian model in which monetary policy may switch between regimes. We derive sufficient conditions for indeterminacy that are easy to implement and we show that the necessary and sufficient condition for determinacy, provided by Davig and Leeper, is necessary but not...
Persistent link: https://www.econbiz.de/10012777388
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10012778086