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BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING

Chin Nam Low, Heather Anderson and Ralph Snyder ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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.

JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
Date: 2006-07
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https://cama.crawford.anu.edu.au/sites/default/fil ... rson_snyder_2006.pdf (application/pdf)

Related works:
Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006) Downloads
Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2006-18

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