Browsing Norges Banks vitenarkiv by Author "Binning, Andrew"
Now showing items 1-10 of 10
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Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models
Binning, Andrew; Maih, Junior (Working Papers;17/2015, Working paper, 2015)We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter ... -
Forecast Uncertainty in the Neighborhood of the Effective Lower Bound: How Much Asymmetry Should We Expect?
Binning, Andrew; Maih, Junior (Working Papers;13/2016, Working paper, 2016)The lower bound on interest rates has restricted the impact of conventional monetary policies over recent years and could continue to do so in the near future, with the decline in natural real rates not predicted to reverse ... -
Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model
Binning, Andrew; Maih, Junior (Working Papers;3/2016, Working paper, 2016)The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ... -
Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model
Binning, Andrew; Bjørnland, Hilde C.; Maih, Junior (Working Paper;22/2019, Working paper, 2019)We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass-through, especially in the presence of a binding zero lower bound (ZLB) constraint. The model is ... -
Joint Prediction Bands for Macroeconomic Risk Management
Akram, Q. Farooq; Binning, Andrew; Maih, Junior (Working Papers;7/2016, Working paper, 2016)In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ... -
Modelling Occasionally Binding Constraints Using Regime-Switching
Binning, Andrew; Maih, Junior (Working Papers;23/2017, Working paper, 2017)Occasionally binding constraints are part of the economic landscape: for instance recent experience with the global financial crisis has highlighted the gravity of the lower bound constraint on interest rates; mortgagors ... -
Sigma Point Filters for Dynamic Nonlinear Regime Switching Models
Binning, Andrew; Maih, Junior (Working Papers;10/2015, Working paper, 2015)In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic ... -
Solving Second and Third-Order Approximations to DSGE Models: A Recursive Sylvester Equation Solution
Binning, Andrew (Working Papers;18/2013, Working paper, 2013)In this paper I derive the matrix chain rules for solving a second and a third-order approximation to a DSGE model that allow the use of a recursive Sylvester equation solution method. In particular I use the solution ... -
Third-Order Approximation of Dynamic Models Without the Use of Tensors
Binning, Andrew (Working Papers;13/2013, Working paper, 2013)I outline a new method for finding third-order accurate solutions to dynamic general equilibrium models. I extend the Gomme & Klein (2011) solution for second-order approximations without using tensors, to a third-order. ... -
Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
Binning, Andrew (Working Papers;14/2013, Working paper, 2013)I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and ...