In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries …: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …

This paper estimates a semi-multivariate dynamic model of Mauritian inflation, using monthly data over the period … January 1976 - December 2001, which captures the significant nonlinearity and asymmetry present in the inflation process …./$ exchange rate on Mauritian inflation and demonstrates the superiority of the LMRSTR model over the conventional ARDL model …

rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is … data a strong negative correlation between the trend components of inflation and unemployment. We show that this finding …

Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes …. -- Cointegrated VAR ; unit root approximation ; economic theory models ; expectations ; hybrid new Keynesian Phillips curve ; general …