| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9705
|
| DP9705 Methods for Measuring Expectations and Uncertainty in Markov-Switching Models |
| Francesco Bianchi
|
| 发表日期 | 2013-10-27
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | I develop a toolbox to analyze the properties of multivariate Markov-switching models. I first derive analytical formulas for the evolution of first and second moments, taking into account the possibility of regime changes. The formulas are then used to characterize the evolution of expectations and uncertainty, the propagation of the shocks, the contribution of the shocks to the overall volatility, and the welfare implications of regime changes in general equilibrium models. Then, I show how the methods can be used to capture the link between uncertainty and the state of the economy. Finally, I generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability. The applications reveal the importance of taking into account the effects of regime changes on agents' expectations, welfare, and uncertainty. All results are derived analytically, do not require numerical integration, and are therefore suitable for structural estimation. |
| 主题 | International Macroeconomics
|
| 关键词 | Bayesian methods
Dsge
Impulse responses
Markov-switching
Uncertainty
Var
Welfare
|
| URL | https://cepr.org/publications/dp9705
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538541
|
推荐引用方式
GB/T 7714 |
Francesco Bianchi. DP9705 Methods for Measuring Expectations and Uncertainty in Markov-Switching Models. 2013.
|
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