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Title:Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks Author(s):HERWARTZ, Helmut; LUETKEPOHL, Helmut
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...
Title:Endogenous Monetary Policy Regimes and the Great Moderation Author(s):GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/22Abstract:This paper contributes to the literature on the changing transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the conduct of monetary policy. We find that the ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/22Abstract:This paper contributes to the literature on the changing transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the conduct of monetary policy. We find that the ...
Title:Towards a Theory of Firm Entry and Stabilization Policy Author(s):BERGIN, Paul; CORSETTI, GiancarloDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/24Abstract:This paper studies the role of stabilization policy in a model where firm entry responds to shocks and uncertainty. We evaluate stabilization policy in the context of a simple analytically solvable sticky price model, where ...
Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/24Abstract:This paper studies the role of stabilization policy in a model where firm entry responds to shocks and uncertainty. We evaluate stabilization policy in the context of a simple analytically solvable sticky price model, where ...