Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions

Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions

This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low inflation regime with both regimes being strongly persistent. Genera...

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Publicat a:MAGKS - Joint Discussion Paper Series in Economics (Band 12-2010)
Autor principal: Mandler, Martin
Format: Arbeit
Idioma:anglès
Publicat: Philipps-Universität Marburg 2010
Matèries:
Wirtschaft
threshold vector autoregression
Great Moderation
Economics
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