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1 novembre 2016
- handle: 10670/1.9n48de
- hal: hal-03393181
- SCIENCESPO: 2441/644vfdaim38frrvbit4u0bh0ha
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info:eu-repo/semantics/altIdentifier/hdl/2441/644vfdaim38frrvbit4u0bh0ha
info:eu-repo/semantics/OpenAccess
Mots-clés
Regime switching Rational expectations models Indeterminacy Perturbation methods E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E32 - Business Fluctuations • Cycles E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination, Term Structure, and EffectsSujets proches
Probability Statistical inferenceCiter ce document
Jean Barthélemy et al., « Solving Endogenous Regime Switching Models », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.9n48de
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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.