Characterizing the Degree of Stability of Non-linear Dynamic Models

DOI10.2202/1558-3708.1002MaRDI QIDQ3368289zbMATH OpenOpenAlexFDO

Authors Mikael Bask, Xavier de Luna

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1002

zbMATH Keywords

AutoregressionExchange ratesExogenous shocksLyapunov exponentsPersistence

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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• Spectral representation and autocovariance structure of Markov switching DSGE models
• A dynamic factor approach to nonlinear stability analysis

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