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References in periodicals archive ?
In order to ascertain the relative importance of inflation and exchange rate stability as formal policy objectives, we conduct Bai-Perron multiple breakpoint (MBP) and Markov regime switching tests.
The same relationships are examined in Section four with the two-state Markov regime switching process.
We employ a two-state Markov regime switching process to identify the timing of monetary policy regime changes reflected by discernible shifts between statistically insignificant and significant patterns of changes in interest rates in relation to inflation and the exchange rate.
In the literature related to monetary policy of Pakistan, this reaction function has been modeled as threshold regression (TR), Markov regime switching regression, and Logistic smooth transition regression (LSTR).
Sattar (2014), using Markov Regime Switching framework, also depicts nonlinearity in the policy reaction function of SBP.
But question remains how nonlinearity should be modeled; threshold regression, Markov regime switching framework, or smooth transition regression model.
By extending these studies and allowing for a business cycle factor (boom and recession) in models of GARCH-M and Markov regime switching, we find that the risk premium coefficient becomes significantly positive for boom periods, whereas it remains insignificantly negative for recession periods.
Turner, Startz, and Nelson (1989); Kim, Morley, and Nelson (2004); and Mayfield (2004) explored volatility feedback in the context of Markov regime switching volatility model.
The Dynamic Factor Model with Markov Regime Switching
This analysis uses a dynamic factor model with Markov regime switching to construct the leading indicators of currency crises for Thailand, Indonesia, and Korea.
A Markov regime switching model and an LSTAR model are employed to take account of possible multiple equilibria and asymmetric responses to positive and negative shocks.
Table 2: Tests of linearity versus Markov regime switching Countries Log Likelihood Log likelihood LR test ([H.