scholarly journals Credibility of Monetary Policy in Four Accession Countries: A Markov Regime-switching Approach

2003 ◽  
Author(s):  
Philip Arestis ◽  
Konstantinos Mouratidis
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Markov Regime Switching ◽  
Accession Countries

scholarly journals Credibility of monetary policy in four accession countries: a Markov regime-switching approach

2005 ◽  
Vol 10 (1) ◽  
pp. 81-89 ◽  
Author(s):  
Philip Arestis ◽  
Kostas Mouratidis
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Markov Regime Switching ◽  
Accession Countries

scholarly journals Exiting from quantitative easing

2019 ◽  
Vol 10 (3) ◽  
pp. 1069-1107 ◽  
Author(s):  
Fumio Hayashi ◽  
Junko Koeda
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Economic Conditions ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Policy Regime ◽  
State Of The Economy ◽  
Macroeconomic Effects ◽  
Structural Vector ◽  
Empirical Framework

We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime‐switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

scholarly journals Time Varying Transition Probabilities for Markov Regime Switching Models

2014 ◽  
Author(s):  
Marco Bazzi ◽  
Francisco Blasques ◽  
Siem Jan Koopman ◽  
Andre Lucas
Keyword(s):  
Regime Switching ◽  
Transition Probabilities ◽  
Time Varying ◽  
Markov Regime Switching ◽  
Regime Switching Models ◽  
Switching Models

A Markov regime switching approach for hedging energy commodities

2008 ◽  
Vol 32 (9) ◽  
pp. 1970-1983 ◽  
Author(s):  
Amir H. Alizadeh ◽  
Nikos K. Nomikos ◽  
Panos K. Pouliasis
Keyword(s):  
Regime Switching ◽  
Markov Regime Switching

A Markov regime-switching model for the semiconductor industry cycles

2006 ◽  
Vol 23 (4) ◽  
pp. 569-578 ◽  
Author(s):  
Wen-Hsien Liu ◽  
Yih-Luan Chyi
Keyword(s):  
Regime Switching ◽  
Semiconductor Industry ◽  
Markov Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Markov Regime Switching Model

scholarly journals Pemodelan Deteksi Krisis Keuangan di Indonesia Berdasarkan Indikator M2/Cadangan Devisa

2019 ◽  
Vol 16 (2) ◽  
pp. 98-103
Author(s):  
Aisyah Zahrotul Hidayah ◽  
Sugiyanto Sugiyanto ◽  
Isnandar Slamet
Keyword(s):  
Financial Crisis ◽  
Regime Switching ◽  
Structural Changes ◽  
Detection System ◽  
International Reserves ◽  
Markov Regime Switching ◽  
Volatility Models ◽  
Macroeconomic Indicators ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Very High

The banking crisis reflects the liquidity crisis and bankruptcy of banks in the financial system. The financial crisis that occurred in mid-1997 resulted in a financial crisis that had a severe impact on the Indonesian economy. This made it aware of the importance of building a financial crisis early detection system to prepare for a crisis. The crisis occurs due to several macroeconomic indicators undergoing structural changes (regimes) and contain very high fluctuations. Combined volatility models and Markov regime switching are very suitable for explaining crises. The M2/international reserves indicator from 1990 to 2018 was used to build a crisis model. The results showed that the Markov regime switching autoregressive conditional heteroscedasticity model MRS-ARCH(2,1) could explain the crisis that occurred in mid-1997. Based on this model, in the future the crisis might occur if the M2/international reserves indicator decreased minimum of 13%

Regime-switching approach to monetary policy effects

2005 ◽  
Vol 37 (3) ◽  
pp. 307-326 ◽  
Author(s):  
Munehisa Kasuya
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Policy Effects
Sign in / Sign up

Export Citation Format

Share Document