Government spending multiplier is usually defined as a factor of proportionality that measures how much output changes in response to a change in the exogenous government spending shock. This assumption is inconsistent with the reality that fiscal stimulus are themselves endogenous and state dependent. This paper developed a endogenous regime switching framework in a rational expectation DSGE m...

We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables and unobservable “modes.” The form of model uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable regi...

We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables and unobservable “modes.” The form of model uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable regi...

Abstract: The aim of international economic sanctions is imposing economic restrictions on target countries. In order to decrease the sanctions negative brunt on citizenry and make it ineffective, government may respond to sanctions through policies such as increasing the supply of public goods. This paper studies the regime changes of government expenditures in Iranian economy in response to e...

By generalizing Hamilton’s model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for the presence of a structural break in the expansionary GDP growth for the US and Japan based on an out...

This paper introduces a Markov-Switching model where transition probabilities depend on higher frequency indicators and their lags, through polynomial weighting schemes. The MSV-MIDAS model is estimated via maximum likelihood methods. The estimation relies on a slightly modified version of Hamilton’s recursive filter. We use Monte Carlo simulations to assess the robustness of the estimation pro...

abstract today, debt stabilization in an uncertain environment is an important issue. in particular, the question how fiscal and monetary authorities should deal with this uncertainty is of much importance. especially for some developing countries such as iran, in which on average 60 percent of government revenues comes from oil, and consequently uncertainty about oil prices has a large effect ...