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Persistent link: https://www.econbiz.de/10005410712
This paper discusses a practical estimation issue for time-varying transition probability (TVTP) Markov switching models. Time-varying transition probabilities allow researchers to capture important economic behavior that may be missed using constant (or fixed) transition probabilities. Despite...
Persistent link: https://www.econbiz.de/10005410794
Economic policies are known to have different effects on the economy depending on the size of policy changes and on business cycle conditions. For example, monetary policy might be more stimulative in recessions and around turning points in the business cycle than during expansions. Such...
Persistent link: https://www.econbiz.de/10005410807
This paper compares a set of non-nested empirical business cycle models. The alternative linear models include a VAR and Stock and Watson's (1991) unobserved components model. The alternative nonlinear models include the time-varying transition probability Markov switching model (Filardo 1993)...
Persistent link: https://www.econbiz.de/10005410850
This paper compares several linear trend break models of labor productivity. One empirical problem that arises when estimating trends in macroeconomic data is the influence of cyclical behavior on tests of trend breaks. Using various methods to correct for cyclical influences, this paper finds...
Persistent link: https://www.econbiz.de/10005515019
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Persistent link: https://www.econbiz.de/10005724245
Should central banks respond to asset price bubbles? This paper explores this monetary policy question in a hypothetical economy subject to asset price bubbles. Despite the highly stylized structure of the model, the results reveal several practical monetary policy lessons. First, a monetary...
Persistent link: https://www.econbiz.de/10005724276
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