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Macroeconomic model reference

Markov-switching VAR Model

Regime-switching macro system where latent states govern recession and expansion dynamics through transition probabilities.

Empirical forecasting models · Sources

Markov-switching VAR sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the Markov-switching VAR page.

References

Primary and official sources

First-party releases, central-bank materials, official statistical agencies, and institutional documents.

  1. [S1] European Central Bank

    Hubrich and Tetlow (2015) -- financial-stress MS-VAR at the ECB

    Primary - European Central Bank

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

  1. [S2] Reference

    Hamilton (1989) -- two-regime autoregression for US GNP, Hamilton filter derivation

    Reference

  2. [S3] Reference

    Hamilton (1990) -- analysis of time series subject to regime changes

    Reference

  3. [S4] Reference

    Krolzig (1997) -- multivariate MS-VAR taxonomy (MSI, MSM, MSH, MSIH, MSIAH)

    Reference

  4. [S5] Reference

    Kim (1994) -- approximation for the Kim smoother in MS-VAR context

    Reference

  5. [S6] Reference

    Chauvet and Hamilton (2006) -- monthly coincident recession indicator

    Reference

  6. [S7] Reference

    Sims, Waggoner, and Zha (2008) -- Bayesian methods for MS-VARs

    Reference

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Concepts

Output and incomeBusiness cyclesPrices and inflationReal and nominal

Indicators

Real GDPgdp.realHeadline CPIprices.cpi.headlineUnemployment ratelabor.unemployment.ratePolicy ratemoney.policy_rate

Policy

Monetary policyFiscal policy

Nearby models

ARIMAVARDynamic factor model