Type
Working paper
Titre
Solving Endogenous Regime Switching Models
Dans
SciencesPo Economics Discussion Papers
Auteur(s)
BARTHÉLEMY Jean - Banque de France (Auteur)
MARX Magali - Banque de France (Auteur)
Éditeur
Paris : SciencesPo Economics Discussion Papers
Collection
SciencesPo Economics Discussion Papers : 2016-07
Mots clés
Regime switching, Rational expectations models, Indeterminacy, Perturbation methods
Résumé
EN
This paper solves rational expectations models in which structural parameters switch across multiple regimes according to state-dependent (endogenous) transition probabilities. Assuming small shocks and smooth transition probabilities, we apply a perturbation approach. We first provide for conditions under which a unique bounded equilibrium exists. We then compute first- and second-order approximations. In a new-Keynesian model with monetary policy switching, we document new effects of monetary policy switching when transition probabilities depend on inflation.

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