Dynamics of Consumption and Dividends over the Business Cycle

Myroslav Pidkuyko

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

Abstract: We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are treated as missing data and then analyzed via Gibbs sampling. This approach generates the posterior conditional distribution of all the parameters given the hidden states, and the posterior conditional distribution of the states given the parameters. This allows us to obtain the estimated values of all the parameters of interest.

Keywords: asset pricing; learning, consumer durable goods; economic uncertainty; business cycles; timing premium (search for similar items in EconPapers)
JEL-codes: E13 E21 E27 E32 E37 E44 G12 G14 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-mac
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