Monetary and fiscal policy switching with time-varying volatilities

DOI10.1016/j.econlet.2016.06.017zbMath1396.62282OpenAlexW2473788465MaRDI QIDQ1670198

Libo Xu, Apostolos Serletis

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.06.017

zbMATH Keywords

GARCHregime-switchingmonetary-fiscal interactions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Understanding Markov-switching rational expectations models
• Generalised residuals
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Evaluating Specification Tests for Markov-Switching Time-Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayes Factors