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State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the...
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of productive resources away from the most productive agents. Second, following an adverse productivity shock there is a … dynamic trade-off between the immediate fall in output, which is an efficient response to the productivity fall, and the fall … some inflation variability, even if the only shocks in the economy are productivity shocks. The optimal variability of …
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