Acknowledging the fact that the growth experience of countries is seldom well described by the average growth rate, this paper aims at identifying countries that are similar in terms of their growth process, thus emphasizing the dynamics of growth rates. To that end, the growth experience of countries is interpreted as a Markov switching process with countries switching between four distinct gr...

Mixed-State conditionally heteroscedastic latent factor models attempt to describe a complex nonlinear dynamic system with a succession of linear latent factor models indexed by a switching variable. Unfortunately, despite the framework’s simplicity exact state and parameter estimation are still intractable because of the interdependency across the latent factor volatility processes. Recently, ...

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 of testing for the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected provided that instrumental variables are used to account for within-regime c...

We address the question of existence of equilibrium in general timing games with complete information. Under weak assumptions, any two-player timing game has a Markov subgame perfect e-equilibrium, for each e40: This result is tight. For some classes of games (symmetric games, games with cumulative payoffs), stronger existence results are established. r 2004 Elsevier Inc. All rights reserved. J...

We study a production economy with regime switching in the conditional mean and volatility of productivity growth. The representative agent has generalized disappointment aversion (GDA) preferences. We show that volatility risk in productivity growth carries a positive and sizable risk premium in levered equity. Our model can endogenously generate long-run risks in the volatility of consumption...

The framework of a general equilibrium heterogeneous agent model is used to study the optimal design of an unemployment insurance (UI) scheme and preferences for unemployment policy reforms. In a first step, the optimal defined benefit and defined replacement ratio UI systems are obtained in simulations. Then, the question whether switching to such an optimal system from the status quo would be...

Classification and statistical learning by hidden markov model has achieved remarkable progress in the past decade. They have been applied in many areas like speech recognition and handwriting recognition. However, learning by Hidden Markov Model (HMM) is still restricted to supervised problems. In this paper, we propose a new learning method 2484 Badreddine Benyacoub et al. based on HMM techni...

This paper estimates a new open economy macroeconomic model for South Korea to determine the output effect of currency devaluations. Three transmission mechanisms are considered: the expenditure-switching, the balance sheet, and a monetary channel associated to a nominal exchange rate target. Devaluations are defined as an increase in this target. This allows to isolate the effects of an explic...

This paper analyses the role barriers to trade in the form of high transaction costs have on market participation and supply response in rural food markets in developing countries. We present an empirical application on a sample of households in the Tanzanian region of Kagera. Exploiting the availability of a long term panel dataset to develop an error components switching regression model we c...