Understanding Markov-switching rational expectations models

DOI10.1016/J.JET.2009.05.004zbMATH Open1195.91114OpenAlexW3121650654MaRDI QIDQ840671FDOQ840671

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

Recommendations

• Determinacy and classification of Markov-switching rational expectations models
• Minimal state variable solutions to Markov-switching rational expectations models
• The long-run Taylor principle revisited
• Optimal policy in Markov-switching rational expectations models
• E-stability vis-à-vis determinacy in regime-switching models

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)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Title not available (Why is that?)
• Comments on “Stochastic Stability of Jump Linear Systems”
• Computing sunspot equilibria in linear rational expectations models

Cited In (24)

• Monetary policy switching and indeterminacy
• Consistent expectations equilibria in Markov regime switching models and inflation dynamics
• Solving linear rational expectations models in the presence of structural change: some extensions
• Optimal policy in Markov-switching rational expectations models
• High trend inflation and passive monetary detours
• The origins and effects of macroeconomic uncertainty
• Determinacy and classification of Markov-switching rational expectations models
• The long-run Taylor principle revisited
• Minimal state variable solutions to Markov-switching rational expectations models
• 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
• Monetary policy and sunspot fluctuations in the United States and the euro area
• Methods for measuring expectations and uncertainty in Markov-switching models
• 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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