Blar i BI Research Centre's Series på forfatter "Herrera, Ana María"
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Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring
Chang, Yoosoon; Herrera, Ana María; Pesavento, Elena (CAMP Working Paper Series;02/2023, Working paper, 2023-02-27)Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful ...