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Kauppakorkeakoulun julkaisuportaali
Aalto-yliopiston kauppakorkeakoulun gradujen tiedot nyt Aaltodocissa: Aaltodoc-julkaisuarkisto
Kauppakorkeakoulu | Taloustieteen laitos | Kansantaloustiede | 2016
Tutkielman numero: 14774
Characterizing Nonlinearities in US Business Cycles Using A Two-regime Switching STAR Model - Empirical Motivation from Dynamic Real Business Cycle and New Keynesian Paradigms
Tekijä: Xu, Peng
Otsikko: Characterizing Nonlinearities in US Business Cycles Using A Two-regime Switching STAR Model - Empirical Motivation from Dynamic Real Business Cycle and New Keynesian Paradigms
Vuosi: 2016  Kieli: eng
Laitos: Taloustieteen laitos
Aine: Kansantaloustiede
Asiasanat: kansantalous; taloustieteet; Yhdysvallat; suhdanteet; ennusteet; mallit
Sivumäärä: 96
Avainsanat: nonlinearity modeling, business cycles, regime-switching STAR, forecasting
Tiivistelmä:
Nonlinear time series econometric models have contributed significantly in modeling macroeconomic and financial data. In the light of theoretical framework of business cycle, Money in the Utility Function Real Business Cycle (MIUF RBC) and New Keynesian (NK) paradigms and their equilibrium dynamics under exogenous shocks, this paper proposes a two-regime switching STAR model aiming to identify and capture nonlinear features of business cycle data, and compares its in-sample and out-of-sample performance against that from traditional linear models.
Graduja säilytetään Oppimiskeskuksessa Otaniemessä.