## Endogenous Monetary-Fiscal Regime Change in the United States∗

- Yoosoon Chang, Boreum Kwak, Eric M. Leeper
- 2016

This paper introduces a model with regime switching, which is driven by an autoregressive latent factor correlated with the innovation to the observed time series. In our model, the mean or volatility process is switched between two regimes, depending upon whether the underlying autoregressive latent factor takes values above or below some threshold level… (More)