Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/128086 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Working Paper No. 14.04
Verlag: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Zusammenfassung: 
Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. Data augmentation for the multinomial logit model of the transition probabilities is alternatively based on a random utility and a difference in random utility extension. We propose a definition to determine a relevant threshold level of the covariate determining the transition distribution, at which the transition distributions are balanced across states. Identification issues are addressed with random permutation sampling. In terms of efficiency, the extension to the difference in random utility specification in combination with random permutation sampling performs best. We apply the method to estimate a regime dependent two-pillar Phillips curve for the euro area, in which lagged credit growth determines the transition distribution of the states.
Schlagwörter: 
Bayesian analysis
credit
M3 growth
Markov switching
Phillips curve
permutation sampling
threshold level
time-varying
probabilities
JEL: 
C11
C22
E31
E52
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
4.73 MB





Publikationen in EconStor sind urheberrechtlich geschützt.