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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Bibliografische gegevens
Gepubliceerd in:MAGKS - Joint Discussion Paper Series in Economics (Band 12-2010)
Hoofdauteur: Mandler, Martin
Formaat: Arbeit
Taal:Engels
Gepubliceerd in: Philipps-Universität Marburg 2010
Onderwerpen:
Wirtschaft
threshold vector autoregression
Great Moderation
Economics
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