The economy switch between regimes according the following stochastic process: Π = [1 𝑝11 − 𝑝22 1 −𝑝2211] With 𝑃[𝑆𝑡 = 𝑗|𝑆𝑡−1 = 𝑖] = 𝑝𝑖𝑗 where i,j = 1,2. The matrix Π is known as the transition matrix. The specification proposed by Dav...
postwar period under the assumption that there are two alternative fiscal regimes, i.e., one with fiscal discipline (“passive” regime) and the other one without fiscal discipline (“active” regime), and that stochastic fluctuations between the two regimes may be characterized by a Markov ...
Firstly, we found that regime change for both monetary and exchange policies are endogenous in which cen- tral bank is not agnostic to the dynamics of the economy but employs a feedback mechanism in governing its policy regime changes between strong and weak response to its target variables. ...
By defining the two groups' different methods of forecasting as regimes, we rewrite the c&f model as a regime-switching model. This approach is used here to test for chartist and fundamentalist behaviour in the Canada鈥揢S daily exchange rate between 1983 and 1992. We find favourable though ...
Examines a tax refund case filed in U.S. court involving Guardian Industries Corp. Facts of the case; Arguments between opposing parties over direct foreign tax credit; Relevance of the court decision with respect to other foreign consolidation regimes....
(residential), providing evidence of well-fitting Markov regime switching models for all the REIT indices in the sample. Nevertheless, the residential and timber indices have relatively higher RCM values as compared to the others, suggesting that the distinction between the regimes for the two is ...
Monetary-fiscal interactionsRegime-switchingGARCHThis paper extends the ongoing literature on regime change. The extension allows time variation in disturbance variances of interest rate rules for monetary policy and tax rules for fiscal policy that switch stochastically between two regimes. We achieve ...
Unlike previous models with a constant volatility, the regime-switching model assumes that the volatility is changing according to each regime and they can switch the value between regimes. The regime-switching models generally consider a business cycle behind our data, with different regimes modelled...
Unlike previous models with a constant volatility, the regime-switching model assumes that the volatility is changing according to each regime and they can switch the value between regimes. The regime-switching models generally consider a business cycle behind our data, with different regimes modelled...