Monetary and fiscal policy switching with time-varying volatilities

DOI10.1016/J.ECONLET.2016.06.017MaRDI QIDQ1670198zbMATH OpenOpenAlexFDO

Authors Libo Xu, Apostolos Serletis

Publication date 5 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.06.017

zbMATH Keywords

regime-switchingGARCHmonetary-fiscal interactions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayes Factors
• Evaluating specification tests for Markov-switching time-series models
• Generalised residuals
• Generalized autoregressive conditional heteroscedasticity
• Understanding Markov-switching rational expectations models

Cited in

(12)

• The inflationary consequences of fiscal policy in Brazil: an empirical investigation with regime switches and time-varying probabilities
• Fiscal policy and asset markets: a semiparametric analysis
• On fiscal and monetary policy-induced macroeconomic volatility dynamics
• scientific article; zbMATH DE number 5635126 (Why is no real title available?)
• Monetary regime change and business cycles
• Monetary policy regime switches and macroeconomic dynamics
• On the evolution of the monetary policy transmission mechanism
• Sources of macroeconomic fluctuations: a regime-switching DSGE approach
• Financial stress, regime switching and macrodynamics
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Unemployment and Inflation Regimes
• Origins of monetary policy shifts: a new approach to regime switching in DSGE models

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