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Periodically expanding discounted debt: a threat to fiscal policy sustainabil...
This paper models the behaviour of discounted US debt using a Markov-switching time series model. The significance of modelling fiscal policy within this framework derives from... -
Markov switching causality and the money-output relationship (replication data)
The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
How well do Markov switching models describe actual business cycles? The case...
The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs... -
Nonlinearity and the permanent effects of recessions (replication data)
This paper presents a new nonlinear time series model that captures a post-recession bounce-back in the level of aggregate output. While a number of studies have examined this...
