Beveridge Nelson decomposition with Markov switching
Vol:
18/2006
Year:
2006
Month:
July
Abstract:
This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the longrun multiplier.
Publication file:
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