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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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 12-2010)
Main Author: Mandler, Martin
Format: Work
Language:English
Published: Philipps-Universität Marburg 2010
Subjects:
Wirtschaft
threshold vector autoregression
Great Moderation
Economics
Online Access:PDF Full Text
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