Understanding Markov-switching rational expectations models

• 成果类型: Article
• 署名作者: Farmer, Roger E. A.; Waggoner, Daniel F.; Zha, Tao
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of California System; University of California Los Angeles; Emory University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2009.05.004
• 发表日期: 2009
• 页码: 1849-1867
• 关键词: stability; Non-linearity; unique equilibrium; Cross-regime indeterminacy; Expectations formation; Necessary and sufficient conditions

摘要

We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models and we develop an algorithm to check these conditions in practice. We use three examples, based on the new-Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov-switching with forward looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region. (C) 2009 Elsevier Inc. All rights reserved.