Markov-switching stochastic trends and economic fluctuations
نویسندگان
چکیده
منابع مشابه
Markov-switching stochastic trends and economic fluctuations
I investigate cointegrating relationships such that, even though the long-run attractors are assumed to be linear, the dynamics of the equilibrium errors depends on the business cycle. I postulate a Markov-switching common stochastic trends model to study both the short-run responses to permanent shocks and the e/ects of recessions in the long-run growth. I apply these 0ndings to explore the sh...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2005
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2003.07.002