Constrained interest rates and changing dynamics at the zero lower bound

DOI10.1515/snde-2017-0098OpenAlexW2963403075WikidataQ127437976 ScholiaQ127437976MaRDI QIDQ2697075

Gregor Bäurle, Sylvia Kaufmann, Rodney W. Strachan, Daniel Kaufmann

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0098

zbMATH Keywords

stochastic volatilityregime switchingTobit modeltime-varying probabilityconstrained variable

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
• Bayes inference in the Tobit censored regression model
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Bayesian Model Uncertainty In Smooth Transition Autoregressions
• Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
• Hierarchical Shrinkage in Time‐Varying Parameter Models
• Forecasting and conditional projection using realistic prior distributions
• The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting
• Monetary Policy and Exchange Rate Volatility in a Small Open Economy

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