Determinacy and classification of Markov-switching rational expectations models

DOI10.1016/j.jedc.2021.104115zbMath1475.91203OpenAlexW3151218204MaRDI QIDQ2246593

Seong-Hoon Cho

Publication date: 16 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104115

zbMATH Keywords

determinacymean-square stabilityMarkov-switchingminimum of modulus solution

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Uses Software

• SINGULAR
• Uhlig Toolkit
• Gensys

Cites Work

• Unnamed Item
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• Time-varying rational expectations models
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• The Solution of Linear Difference Models under Rational Expectations
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
• Monetary policy switching and indeterminacy
• ADAPTIVE LEARNING IN REGIME-SWITCHING MODELS
• Stationarity of multivariate Markov-switching ARMA models

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