Methods for measuring expectations and uncertainty in Markov-switching models

DOI10.1016/J.JECONOM.2015.08.004MaRDI QIDQ894639zbMATH OpenOpenAlexFDO

Authors Francesco Bianchi

Publication date 2 December 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.08.004

zbMATH Keywords

DSGEexpectationsimpulse responsesMarkov-switching VARmomentsuncertainty

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• An Intertemporal Capital Asset Pricing Model
• Calculating posterior distributions and modal estimates in Markov mixture models
• Estimation and comparison of multiple change-point models
• Fitting observed inflation expectations
• Forecasting Time Series Subject to Multiple Structural Breaks
• scientific article; zbMATH DE number 2136426 (Why is no real title available?)
• Impulse response analysis in nonlinear multivariate models
• Large Sample Properties of Generalized Method of Moments Estimators
• Modeling the evolution of expectations and uncertainty in general equilibrium
• Moments of Markov switching models
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
• Sources of macroeconomic fluctuations: a regime-switching DSGE approach
• The Impact of Uncertainty Shocks
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Uncertainty shocks, asset supply and pricing over the business cycle
• Understanding Markov-switching rational expectations models

Cited in

(9)

• Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
• Determinacy and classification of Markov-switching rational expectations models
• Modeling the evolution of expectations and uncertainty in general equilibrium
• Spectral representation and autocovariance structure of Markov switching DSGE models
• MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
• Moments, shocks and spillovers in Markov-switching VAR models
• The origins and effects of macroeconomic uncertainty
• Quantifying and Managing Uncertainty in Piecewise-Deterministic Markov Processes
• News-Driven Uncertainty Fluctuations

Describes a project that uses

Uses Software

• bvarsv

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