Showing 191 - 200 of 213
Persistent link: https://www.econbiz.de/10005618530
We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break? We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model...
Persistent link: https://www.econbiz.de/10005697428
One goal of this paper is to develop an efficient Markov-Chain Monte Carlo (MCMC) algorithm for estimating an ARMA model with a regime-switching mean, based on a multimove sampler. Unlike the existing algorithm of Billio et al. (1999) based on a single-move sampler, our algorithm can achieve...
Persistent link: https://www.econbiz.de/10010711822
In this paper, we investigate the nature of structural breaks in inflation by estimating a version of the New Keynesian Phillips curve (NKPC) in the presence of a unit root in inflation. We show that, with a unit root in inflation, the NKPC implies an unobserved components model that consists of...
Persistent link: https://www.econbiz.de/10010711823
The existing literature on U.S. monetary policy provides no sense of a cnsensus regarding the existence of a monetary policy regime. This paper explores the evolution of U.S. monetary policy regimes via the development of a Markov-switching model predicated on narrative and statistical evidence...
Persistent link: https://www.econbiz.de/10009003598
In this paper, we investigate the nature of structural breaks in inflation by estimating a version of the New Keynesian Phillips curve (NKPC) in the presence of a unit root in inflation. We show that, with a unit root in inflation, the NKPC implies an unobserved components model that consists of...
Persistent link: https://www.econbiz.de/10011108918
In the case of a flat prior, a conventional wisdom is that Bayesian inference may not be very different from classical inference, as the likelihood dominates the posterior density. This paper shows that there are cases in which this conventional wisdom does not apply. An ARMA model of real GDP...
Persistent link: https://www.econbiz.de/10011109686
One goal of this paper is to develop an efficient Markov-Chain Monte Carlo (MCMC) algorithm for estimating an ARMA model with a regime-switching mean, based on a multi-move sampler. Unlike the existing algorithm of Billio et al. (1999) based on a single-move sampler, our algorithm can achieve...
Persistent link: https://www.econbiz.de/10011109928
Following Hamilton [1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384], estimation of Markov regime-switching regressions typically relies on the assumption that the latent state variable controlling regime change is...
Persistent link: https://www.econbiz.de/10005228842
We investigate the nature of asymmetries in U.S. business cycle dynamics using a dynamic two-factor model of output, investment, and consumption that incorporates both the common stochastic trend implied by neoclassical growth theory and a common transitory component. This framework allows for...
Persistent link: https://www.econbiz.de/10005231105