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Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal... -
On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in...
This paper investigates whether there is time variation in the excess sensitivity of aggregate consumption growth to anticipated aggregate disposable income growth using... -
Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Ma...
An article by Chan et al. (2013) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to... -
A Hidden Markov Model Approach to Information-Based Trading: Theory and Appli...
This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive... -
On Markov error-correction models, with an application to stock prices and di...
This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our...
