This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selectio...

according to the importance of careful review of crude oil market fluctuations on the iranian economy, in this paper a multivariate model of markov switching vector error correction model (have been used). variables such as real gross domestic product in industrial sector, real effective exchange rate, real governmental expenditure, real import, inflation rate and real crude oil price is used t...

In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating busi...

In Markov-switching regression models, we use Kullback–Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously. Specifically, we derive a new information criterion, Markov switching criterion (MSC), which is an estimate of KL divergence. MSC imposes an appropriate penalty to mitigate the overretention of states in the Markov chai...

In this paper, I examine a model economy with production, search, and unemployment insurance. The introduction of capital into the economy of Wang and Williamson (2001) generates the result that optimal replacement ratios are always zero. The result arises from the decline in aggregate activity caused by unemployment insurance: both capital and labor inputs to production fall when benefits rise...

T he main purpose of this article is to analyze exchange rate behavior based on monetary fundamentals in the context of Iranian economy over the period 1990:2 to 2014:3. To do so, two monetary exchange rate models is investigated, the first by regarding interest rate differential as a monetary variable, and the second one regardless of interest rate differential as a monetary variabl...

The reformulation of the median voter hypothesis and its testing proposed in Milanovic (2000) has been criticized from four different perspectives. The critiques are discussed and assessed. JEL classification: D31, E62

The hoped-for silver lining of euro-area austerity programs was to raise external competitiveness and improve current accounts. Using product- industry-level data for 12 countries over the period 1999–2018, we show that reductions in government spending reduce prices wages but only products with low import content industries export shares. This leads asymmetric expenditure switching, net export...

This paper investigates currency and financial crises in an optimizing general equilibrium model. It is shown that a rise in current and expected future budget deficits generates a real exchange rate appreciation and a decumulation of external assets, leading up to a currency crisis when foreign reserves approximate a critical level. Strong empirical support for our model is obtained by a probi...

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be consistently estimated by means of a VAR. Government spending raises both consumption and investment, with no ev...