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- handle: 10670/1.4cvb80
- hal: hal-03945922
- doi: 10.1016/j.jedc.2017.01.011
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jedc.2017.01.011
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Jean Barthélemy et al., « Solving Endogenous Regime Switching Models », HAL-SHS : économie et finance, ID : 10.1016/j.jedc.2017.01.011
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Résumé
This paper solves rational expectations models in which structural parameters switch across multiple regimes according to state-dependent (endogenous) transition probabilities. Assuming small shocks and smooth transition probabilities, we apply a perturbation approach. We first provide for conditions under which a unique bounded equilibrium exists. We then compute first- and second-order approximations. In a new-Keynesian model with monetary policy switching, we document new effects of monetary policy switching when transition probabilities depend on inflation.