Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model

DOI10.1016/J.JEDC.2018.03.001zbMath1401.91340OpenAlexW2583190580WikidataQ129990473 ScholiaQ129990473MaRDI QIDQ1657379

Willi Semmler, Pu Chen

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.economicpolicyresearch.org/econ/2017/NSSR_WP_082017.pdf

zbMATH Keywords

financial stressmacro dynamicsMRGVAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

Instability in regime switching models ⋮ Financial stress, regime switching and macrodynamics

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Impulse response analysis in nonlinear multivariate models
• Testing and Modeling Threshold Autoregressive Processes

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