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Perturbation methods for Markov-switching DSGE models

Citations

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Cited by:

  1. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
  2. Philippopoulos, Apostolis & Varthalitis, Petros & Vassilatos, Vanghelis, 2015. "Optimal fiscal and monetary policy action in a closed economy," Economic Modelling, Elsevier, vol. 48(C), pages 175-188.
  3. Boris Blagov, 2018. "Financial crises and time-varying risk premia in a small open economy: a Markov-switching DSGE model for Estonia," Empirical Economics, Springer, vol. 54(3), pages 1017-1060, May.
  4. Barthélemy, Jean & Marx, Magali, 2017. "Solving endogenous regime switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 1-25.
  5. Troy Davig & Andrew Foerster, 2019. "Uncertainty and Fiscal Cliffs," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 1857-1887, October.
  6. Benchimol, Jonathan & Ivashchenko, Sergey, 2021. "Switching volatility in a nonlinear open economy," Journal of International Money and Finance, Elsevier, vol. 110(C).
  7. repec:zbw:bofrdp:2017_009 is not listed on IDEAS
  8. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  9. Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2020. "Forecasting with Second-Order Approximations and Markov-Switching DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 747-771, December.
  10. Jason Choi & Andrew Foerster, 2021. "Optimal Monetary Policy Regime Switches," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 333-346, October.
  11. Junior Maih, 2014. "Efficient Perturbation Methods for Solving Regime-Switching DSGE Models," Working Papers No 10/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  12. Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2020. "A tractable framework for analyzing a class of nonstationary Markov models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1289-1323, November.
  13. Andrew T. Foerster, 2016. "Monetary Policy Regime Switches And Macroeconomic Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(1), pages 211-230, February.
  14. Andrew Binning & Junior Maih, 2015. "Sigma point filters for dynamic nonlinear regime switching models," Working Paper 2015/10, Norges Bank.
  15. Martin Kuncl, 2016. "Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases," Staff Working Papers 16-46, Bank of Canada.
  16. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
  17. Oliveira, Eleonora de & Palma, Andreza A. & Portugal, Marcelo S., 2024. "A Markov-Switching DSGE model for measuring the output gap in Brazil," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(1).
  18. Mehmet Balcilar & Rangan Gupta & Kevin Kotzé, 2017. "Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model," Empirical Economics, Springer, vol. 53(1), pages 117-135, August.
  19. repec:hal:spmain:info:hdl:2441/644vfdaim38frrvbit4u0bh0ha is not listed on IDEAS
  20. Timothy Cogley & Boyan Jovanovic, 2022. "Structural Breaks in an Endogenous Growth Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(2), pages 666-694.
  21. Andrew Binning & Junior Maih, 2017. "Modelling Occasionally Binding Constraints Using Regime-Switching," Working Paper 2017/23, Norges Bank.
  22. Francesco Bianchi & Leonardo Melosi, 2018. "Constrained Discretion and Central Bank Transparency," The Review of Economics and Statistics, MIT Press, vol. 100(1), pages 187-202, March.
  23. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.
  24. Blagov, Boris & Funke, Michael, 2019. "The Regime-Dependent Evolution Of Credibility: A Fresh Look At Hong Kong'S Linked Exchange Rate System," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2434-2468, September.
  25. Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2019. "Forecasting with instabilities: An application to DSGE models with financial frictions," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
  26. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
  27. Klaus Neusser, 2018. "The New Keynesian Model with Stochastically Varying Policies," Diskussionsschriften dp1801, Universitaet Bern, Departement Volkswirtschaft.
  28. Sitthiyot, Thitithep, 2015. "Macroeconomic and Financial Management in an Uncertain World: What Can We Learn from Complexity Science?," MPRA Paper 73753, University Library of Munich, Germany, revised 11 Dec 2015.
  29. repec:zbw:bofrdp:2018_006 is not listed on IDEAS
  30. repec:zbw:bofitp:2013_024 is not listed on IDEAS
  31. Shayan Zakipour-Saber, 2019. "State-dependent Monetary Policy Regimes," Working Papers 882, Queen Mary University of London, School of Economics and Finance.
  32. Ajevskis Viktors, 2017. "Semi-global solutions to DSGE models: perturbation around a deterministic path," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-28, April.
  33. Alberto Ortiz-Bolaños & Sebastián Cadavid-Sánchez & Gerardo Kattan-Rodríguez, 2018. "Targeting Long-term Rates in a Model with Financial Frictions and Regime Switching," Investigación Conjunta-Joint Research, in: Alberto Ortiz-Bolaños (ed.), Monetary Policy and Financial Stability in Latin America and the Caribbean, edition 1, volume 1, chapter 6, pages 159-219, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
  34. Ascari, Guido & Florio, Anna & Gobbi, Alessandro, 2017. "Controlling inflation with switching monetary and fiscal policies: expectations, fiscal guidance and timid regime changes," Research Discussion Papers 9/2017, Bank of Finland.
  35. Ascari, Guido & Florio, Anna & Gobbi, Alessandro, 2018. "High trend inflation and passive monetary detours," Economics Letters, Elsevier, vol. 172(C), pages 138-142.
  36. Sebastián Cadavid Sánchez, 2018. "Monetary policy and structural changes in Colombia, 1990-2016: A Markov Switching approach," Documentos CEDE 16970, Universidad de los Andes, Facultad de Economía, CEDE.
  37. Foerster, Andrew T., 2015. "Financial crises, unconventional monetary policy exit strategies, and agents׳ expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 191-207.
  38. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
  39. Francesco Bianchi & Leonardo Melosi, 2016. "Modeling The Evolution Of Expectations And Uncertainty In General Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 717-756, May.
  40. repec:fip:fedkrw:15-06 is not listed on IDEAS
  41. Thitithep Sitthiyot, 2021. "Macroeconomic and financial management in an uncertain world: What can we learn from complexity science?," Papers 2112.15294, arXiv.org.
  42. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
  43. Kapetanios, George & Masolo, Riccardo M. & Petrova, Katerina & Waldron, Matthew, 2019. "A time-varying parameter structural model of the UK economy," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
  44. Gibbs, Christopher G. & McClung, Nigel, 2019. "Does my model predict a forward guidance puzzle?," Research Discussion Papers 19/2019, Bank of Finland.
  45. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
  46. Muhammad Farid Ahmed & Stephen Satchell, 2019. "Some Dynamic and Steady-State Properties of Threshold Auto-Regressions with Applications to Stationarity and Local Explosivity," JRFM, MDPI, vol. 12(3), pages 1-18, July.
  47. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
  48. Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1641-1696, Elsevier.
  49. Andrew Lee Smith, 2015. "When does the cost channel pose a challenge to inflation targeting central banks?," Research Working Paper RWP 15-6, Federal Reserve Bank of Kansas City.
  50. repec:spo:wpmain:info:hdl:2441/644vfdaim38frrvbit4u0bh0ha is not listed on IDEAS
  51. Ascari, Guido & Florio, Anna & Gobbi, Alessandro, 2018. "High trend inflation and passive monetary detours," Economics Letters, Elsevier, vol. 172(C), pages 138-142.
  52. Guido Ascari & Anna Florio & Alessandro Gobbi, 2016. "Monetary and Fiscal Policy Interactions: Leeper (1991) Redux," Economics Series Working Papers 788, University of Oxford, Department of Economics.
  53. Hamilton, J.D., 2016. "Macroeconomic Regimes and Regime Shifts," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 163-201, Elsevier.
  54. Shayan Zakipour-Saber, 2019. "Monetary policy regimes and inflation persistence in the United Kingdom," Working Papers 895, Queen Mary University of London, School of Economics and Finance.
  55. Blagov, Boris & Funke, Michael, 2019. "The Regime-Dependent Evolution Of Credibility: A Fresh Look At Hong Kong'S Linked Exchange Rate System," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2434-2468, September.
  56. สิทธิยศ, ฐิติเทพ & ธัญลักษณ์ภาคย์, เกษรา, 2014. "การทดสอบข้อสมมติของทฤษฎีเศรษฐศาสตร์เกี่ยวกับความมีเหตุผลของมนุษย์: หลักฐานเชิงประจักษ์จากการทดลองในระบบปิด [Testing Rationality Assumptions in Economic Theory: Evidence from Closed Experiment]," MPRA Paper 74878, University Library of Munich, Germany, revised 05 Jan 2015.
  57. repec:zbw:bofrdp:019 is not listed on IDEAS
  58. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
  59. Han Chen, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (U.S.).
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