Estimating a Banking-Macro Model Using a Multi-regime VAR

DOI10.1007/978-3-642-42039-9_1zbMath1315.91049OpenAlexW2234142981MaRDI QIDQ5258071

Willi Semmler, Stefan Mittnik

Publication date: 25 June 2015

Published in: Advances in Non-linear Economic Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-42039-9_1

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic growth models (91B62)

Related Items (4)

Debt-deflation, financial market stress and regime change -- evidence from Europe using MRVAR ⋮ \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe ⋮ Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach ⋮ Financial stress, regime switching and macrodynamics

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