The Resource Methods for measuring expectations and uncertainty in Markov-switching models, Francesco Bianchi, (electronic resource)

Methods for measuring expectations and uncertainty in Markov-switching models, Francesco Bianchi, (electronic resource)

Label
Methods for measuring expectations and uncertainty in Markov-switching models
Title
Methods for measuring expectations and uncertainty in Markov-switching models
Statement of responsibility
Francesco Bianchi
Creator
Contributor
Author
Subject
Language
eng
Summary
I develop a toolbox to analyze the properties of multivariate Markov-switching models. I first derive analytical formulas for the evolution of first and second moments, taking into account the possibility of regime changes. The formulas are then used to characterize the evolution of expectations and uncertainty, the propagation of the shocks, the contribution of the shocks to the overall volatility, and the welfare implications of regime changes in general equilibrium models. Then, I show how the methods can be used to capture the link between uncertainty and the state of the economy. Finally, I generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability. The applications reveal the importance of taking into account the effects of regime changes on agents' expectations, welfare, and uncertainty. All results are derived analytically, do not require numerical integration, and are therefore suitable for structural estimation
Member of
Cataloging source
GZM
http://library.link/vocab/creatorDate
1980-
http://library.link/vocab/creatorName
Bianchi, Francesco
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Centre for Economic Policy Research (Great Britain)
Series statement
  • Discussion paper series,
  • International macroeconomics
Series volume
no. 9705
http://library.link/vocab/subjectName
  • Finance
  • Macroeconomics
  • Monetary policy
Label
Methods for measuring expectations and uncertainty in Markov-switching models, Francesco Bianchi, (electronic resource)
Link
http://www.cepr.org.ezproxy.eui.eu/content/discussion-papers
Instantiates
Publication
Note
  • "October 2013."
  • "Submitted 16 October 2013."
Bibliography note
Includes bibliographical references (pages 37-39)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17470419
Extent
1 online resource (49 pages)
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)861796175
Label
Methods for measuring expectations and uncertainty in Markov-switching models, Francesco Bianchi, (electronic resource)
Link
http://www.cepr.org.ezproxy.eui.eu/content/discussion-papers
Publication
Note
  • "October 2013."
  • "Submitted 16 October 2013."
Bibliography note
Includes bibliographical references (pages 37-39)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17470419
Extent
1 online resource (49 pages)
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)861796175

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