Blar i Arbeidsnotater / Working Papers på emneord "regime-switching"

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    • 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 ...

    • How New Keynesian Is the US Phillips Curve? 

      Alstadheim, Ragna (Working Papers;25/2013, Working paper, 2013)
      I provide a generalization of Calvo price setting, to include non-overlapping contracts as a special case and embed this in a small DSGE model. The resulting Generalized Phillips Curve (GPC) nests New-Keynesian and ...

    • 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. ...

    • 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 ...

    • 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 ...