BOUNDING TAIL PROBABILITIES IN DYNAMIC ECONOMIC MODELS

John Stachurski ()

Macroeconomic Dynamics, 2012, vol. 16, issue S1, 117-126

Abstract: This paper provides conditions for bounding tail probabilities in stochastic economic models in terms of their transition laws and shock distributions. Particular attention is given to conditions under which the tails of stationary equilibria have exponential decay. By way of illustration, the technique is applied to a threshold autoregression model of exchange rates.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:16:y:2012:i:s1:p:117-126_00

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