Estimating a banking-macro model using a multi-regime VAR

DOI10.1007/978-3-642-42039-9_1MaRDI QIDQ5258071zbMATH OpenOpenAlexFDO

Authors 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) Economic growth models (91B62) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Comparing accuracy of second-order approximation and dynamic programming
• Creditworthiness and thresholds in a credit market model with multiple equilibria
• Default Risk, Asset Pricing, and Debt Control
• scientific article; zbMATH DE number 5702710 (Why is no real title available?)
• Impulse response analysis in nonlinear multivariate models
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Stochastic optimal control and the U.S. financial debt crisis
• Testing and Modeling Multivariate Threshold Models
• The real consequences of financial stress
• Threshold models in non-linear time series analysis
• Using dynamic programming with adaptive grid scheme for optimal control problems in economics

Cited in

(8)

• Debt-deflation, financial market stress and regime change -- evidence from Europe using MRVAR
• Financial stress, regime switching and macrodynamics
• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
• Research on stress test of commercial banks based on SVAR model
• scientific article; zbMATH DE number 5732713 (Why is no real title available?)
• scientific article; zbMATH DE number 1263642 (Why is no real title available?)
• Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe

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