Beveridge-Nelson Decomposition with Markov Switching

Chin Nam Low, Heather M. Anderson and Ralph David Snyder ()
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Chin Nam Low: Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Abstract: In this paper, we consider the introduction of Markov-switching (MS) processes to both the permanent and transitory components of the Beveridge-Nelson (BN) decomposition. This new class of MS models within the context of BN decomposition provides an alternative framework in the study of business cycle asymmetry. Our approach incorporates Markov switching into a BN decomposition formulated in a single source of error state-space form, allowing regime switches in the long-run multiplier as well as in the short-run parameters.

JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: 2006-07
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http://www.melbourneinstitute.com/downloads/working_paper_series/wp2006n14.pdf (application/pdf)

Related works:
Working Paper: BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING (2006)
Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006)
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