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Expected Money Growth, Markov Trends and theInstability of Money Demand in the Euro Area
Kaufmann, Sylvia; Kugler, Peter - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007
This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...
Persistent link: https://www.econbiz.de/10005867935
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Expected money growth, Markov trends and the instability of money demand in the euro erea
Kaufmann, Sylvia (contributor); Kugler, Peter (contributor) - 2006
Persistent link: https://www.econbiz.de/10003410693
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A monetary real-time conditional forecast of euro area inflation
Kaufmann, Sylvia; Kugler, Peter - In: Journal of forecasting 29 (2010) 4, pp. 388-405
Persistent link: https://www.econbiz.de/10003989766
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Model-based clustering of multiple time series
Frühwirth-Schnatter, Sylvia; Kaufmann, Sylvia - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 1, pp. 78-89
Persistent link: https://www.econbiz.de/10003625239
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Expected money growth, Markov trends and the instability of money demand in the euro erea
Kaufmann, Sylvia; Kugler, Peter - 2006
Persistent link: https://www.econbiz.de/10003383884
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Markov-regime switching in economic variables : Part I. modelling, estimating and testing. ; Part II. a selective survey
Kaufmann, Sylvia; Scheicher, Martin - 1996
Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance … allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is …
Persistent link: https://www.econbiz.de/10009698214
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Hidden Markov models in time series, with applications in economics
Kaufmann, Sylvia - 2016
-varying specifications of the state transition distribution. The concept of mean-square stability is introduced to discuss the condition … time series process may be mean-square stable even if it switches between bounded and unbounded state-specific processes …. Surprisingly, switching between stable state-specific processes is neither necessary nor sufficient to obtain a mean-square stable …
Persistent link: https://www.econbiz.de/10011538665
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K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - 2014
Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. Data augmentation for the multinomial logit model of the transition probabilities is alternatively based on a random utility and a difference in random utility...
Persistent link: https://www.econbiz.de/10010493611
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K-state switching models with time-varying transition distributions : does loan growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - In: Journal of econometrics 187 (2015) 1, pp. 82-94
Persistent link: https://www.econbiz.de/10011498759