A Model of Stochastic Process Switching

DOI10.2307/1912144zbMath0511.90045OpenAlexW4231126038MaRDI QIDQ4750384

Peter M. Garber, Robert P. Flood

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1982/201/ifdp201.pdf

zbMATH Keywords

process switchingstochastic exchange raterational expectations exchange-rate model

Mathematics Subject Classification ID

Economic growth models (91B62)

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Vanishing central bank intervention in stochastic impulse control ⋮ Exchange rate bifurcation in a stochastic evolutionary finance model ⋮ Random perturbations of deterministic equilibria. ⋮ Transition probabilities in a problem of stochastic process switching ⋮ Another method for solving the problem of stochastic process switching ⋮ A currency crisis model with a misaligned central parity: A stochastic analysis ⋮ Another method for solving the problem of stochastic process switching ⋮ Closed-form solutions to stochastic process switching problems ⋮ A consistent nonparametric test of ergodicity for time series with applications ⋮ Stochastic impulse control of exchange rates with Freidlin–Wentzell perturbations ⋮ Inflation targeting with NAIRU uncertainty and endogenous policy credibility

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