Financial stress, regime switching and macrodynamics

DOI10.1007/978-3-030-70982-2_20zbMath1502.91043OpenAlexW3197603380MaRDI QIDQ2097867

Willi Semmler, Pu Chen

Publication date: 15 November 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-70982-2_20

zbMATH Keywords

business cyclescyclesnonlinear model predictive control (NMPC)multi-regime cointegrated VAR (MRCIVAR)

Mathematics Subject Classification ID

Economic growth models (91B62) Statistical methods; economic indices and measures (91B82) Model predictive control (93B45)

Cites Work

• Stability results for nonlinear error correction models
• Statistical analysis of cointegration vectors
• Debt-deflation, financial market stress and regime change -- evidence from Europe using MRVAR
• Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
• Testing for two-regime threshold cointegration in vector error-correction models.
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating a Banking-Macro Model Using a Multi-regime VAR
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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