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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Pubblicato in:MAGKS - Joint Discussion Paper Series in Economics (Band 12-2010)
Autore principale: Mandler, Martin
Natura: Arbeit
Lingua:inglese
Pubblicazione: Philipps-Universität Marburg 2010
Soggetti:
Wirtschaft
threshold vector autoregression
Great Moderation
Economics
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