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Is Switzerland an interest rate island after all? : time series and non-linear switching regime evidence

Feld, Lars P.; Köhler, Ekkehard A. - 2015

Has the "Swiss interest rate anomaly" persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find evidence...

Persistent link: https://www.econbiz.de/10011392550

State-dependent monetary policy regimes

Zakipour-Saber, Shayan - 2019

Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority's stance on inflation. I take advantage of recent developments in solving rational...

Persistent link: https://www.econbiz.de/10011975606

Investigating the Price Transmission Mechanism of the Greek Fresh Tomato Market with a Markov Switching Vector Error Correction Model

Rezitis, Anthony N. - 2014

tomato market, using monthly price data from January 1995 to May 2011. The estimation is carried out by applying a Markov …

Persistent link: https://www.econbiz.de/10013064068

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Haldrup, Niels; Nielsen, Morten Ørregaard - 2008

fractional cointegration at some grid points when conditioning on the states …

Persistent link: https://www.econbiz.de/10014217217

Time-varying identification of monetary policy shocks

Camehl, Annika; Woźniak, Tomasz - 2023

We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity...

Persistent link: https://www.econbiz.de/10014422351

Testing an Augmented Fisher Hypothesis for Money Market Interest Rates in Finland

Junttila, Juha-Pekka - 1998

(1997). The use of cointegration techniques enables to include this generated regressor to the estimation equation, because … asymptotically vanishes when unit root methods are applied. In this work the primary method in the cointegration analysis is the … Johansen procedure, which is based on maximum likelihood estimation. Furthermore, we also apply Kalman filtering to the …

Persistent link: https://www.econbiz.de/10014070202

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...

Persistent link: https://www.econbiz.de/10010233639

Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010233991

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010249640

Bayesian Inference in a Time Varying Cointegration Model

Koop, Gary - 2011

cointegrations. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues …. In this paper we develop a new time varying parameter model which permits cointegration. We use a specification which …

Persistent link: https://www.econbiz.de/10013121913