Characterizing Markov-Switching Rational Expectations Models ∗

@inproceedings{Cho2012CharacterizingMR,
  title={Characterizing Markov-Switching Rational Expectations Models ∗},
  author={S M Cho},
  year={2012}
}
Markov-switching rational expectations (MSRE) models can bring out fresh insights beyond what linear rational expectations (RE) models have done for macroeconomics as Davig and Leeper (2007) and Farmer, Waggoner and Zha (2009), among others, have noted and predicted. A lack of tractable methodological foundations, however, may have hindered researchers from uncovering the salient features of MSRE models. This paper improves the status quo to a level at which MSRE inherently non-linear models… CONTINUE READING
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