• Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation 

      Alstadheim, Ragna; Bjørnland, Hilde C.; Maih, Junior (CAMP Working Paper Series;9/2013, Working paper, 2013)
      Do central banks respond to exchange rate movements? According to Lubik and Schorfheide (2007) who estimate structural general equilibrium models with monetary policy rules, the answer is "Yes, some do". However, their ...
    • Efficient Perturbation Methods for Solving Regime-Switching DSGE Models 

      Maih, Junior (CAMP Working Papers Series;10/2014, Working paper, 2014)
      In an environment where economic structures break, variances change, distributions shift, conventional policies weaken and past events tend to reoccur, economic agents have to form expectations over different regimes. ...
    • Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model 

      Binning, Andrew; Maih, Junior (CAMP Working Paper Series;3/2016, Working paper, 2016)
      The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ...
    • Joint Prediction Bands for Macroeconomic Risk Management 

      Akram, Farooq; Binning, Andrew; Maih, Junior (CAMP Working Paper Series;5/2016, Working paper, 2016)
      In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ...
    • Modelling Occasionally Binding Constraints Using Regime-Switching 

      Binning, Andrew; Maih, Junior (CAMP Working Paper Series;9, Working paper, 2017-12)
      Occasionally binding constraints are part of the economic landscape: for instance recent experience with the global financial crisis has highlighted the gravity of the lower bound constraint on interest rates; mortgagors ...
    • Oil and macroeconomic (in)stability 

      Bjørnland, Hilde C.; Larsen, Vegard H.; Maih, Junior (CAMP Working Paper Series;No. 6/2017, Working paper, 2017-11)
      We analyze the role of oil price volatility in reducing U.S. macroeconomic insta- bility. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of ...
    • Sigma Point Filters For Dynamic Nonlinear Regime Switching Models 

      Binning, Andrew; Maih, Junior (CAMP Working Papers Series;4/2015, Working paper, 2015)
      In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic ...
    • State Space Models with Endogenous Regime Switching 

      Chang, Yoosoon; Maih, Junior; Tan, Fei (CAMP Working Paper Series;09/2018, Working paper, 2018-11-24)
      This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems ...