Understanding Markov-switching rational expectations models

DOI10.1016/J.JET.2009.05.004MaRDI QIDQ840671zbMATH OpenOpenAlexFDO

Authors Roger E. A. Farmer, Daniel F. Waggoner, Tao Zha

Publication date 14 September 2009

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w14710.pdf

zbMATH Keywords

stabilitynon-linearitynecessary and sufficient conditionsunique equilibriumexpectations formationcross-regime indeterminacy

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• scientific article; zbMATH DE number 2136426 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Comments on “Stochastic Stability of Jump Linear Systems”
• Computing sunspot equilibria in linear rational expectations models
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*

Cited in

(24)

• Monetary policy switching and indeterminacy
• Solving linear rational expectations models in the presence of structural change: some extensions
• Consistent expectations equilibria in Markov regime switching models and inflation dynamics
• Optimal policy in Markov-switching rational expectations models
• High trend inflation and passive monetary detours
• Determinacy and classification of Markov-switching rational expectations models
• The origins and effects of macroeconomic uncertainty
• Minimal state variable solutions to Markov-switching rational expectations models
• The long-run Taylor principle revisited
• Using nonlinear model predictive control for dynamic decision problems in economics
• Debt-deflation, financial market stress and regime change -- evidence from Europe using MRVAR
• Solving endogenous regime switching models
• Monetary policy regime switches and macroeconomic dynamics
• On the stability of Calvo-style price-setting behavior
• Skewness and kurtosis of multivariate Markov-switching processes
• Modeling the evolution of expectations and uncertainty in general equilibrium
• Methods for measuring expectations and uncertainty in Markov-switching models
• Monetary policy and sunspot fluctuations in the United States and the euro area
• Monetary and fiscal policy switching with time-varying volatilities
• LEARNING ABOUT REGIME CHANGE
• Stability in threshold VAR models
• Time-varying rational expectations models
• Estimating dynamic equilibrium models with stochastic volatility
• E-stability vis-à-vis determinacy in regime-switching models

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