Arbeitspapier
Understanding Markov-switching rational expectations models
We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov switching with forward-looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2009-5
- Classification
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Wirtschaft
- Subject
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stability
nonlinearity
unique equilibrium
cross-regime indeterminacy
expectations formation
necessary and sufficient conditions
Rationale Erwartung
Markovscher Prozess
Neukeynesianische Makroökonomik
Geldpolitik
Theorie
- Event
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Geistige Schöpfung
- (who)
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Farmer, Roger E.A.
Waggoner, Daniel F.
Zha, Tao
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Farmer, Roger E.A.
- Waggoner, Daniel F.
- Zha, Tao
- Federal Reserve Bank of Atlanta
Time of origin
- 2009
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