Skip to Main content Skip to Navigation
New interface
Preprints, Working Papers, ...

State-Dependent Probability Distributions in Non Linear Rational Expectations Models

Abstract : In this paper, we provide solution methods for non-linear rational expectations models in which regime-switching or the shocks themselves may be "endogenous", i.e. follow state-dependent probability distributions. We use the perturbation approach to find determinacy conditions, i.e. conditions for the existence of a unique stable equilibrium. We show that these conditions directly follow from the corresponding conditions in the exogenous regime-switching model. Whereas these conditions are diffcult to check in the general case, we provide for easily verifiable and sufficient determinacy conditions and first-order approximation of the solution for purely forward-looking models. Finally, we illustrate our results with a Fisherian model of inflation determination in which the monetary policy rule may change across regimes according to a state-dependent transition probability matrix.
Document type :
Preprints, Working Papers, ...
Complete list of metadata
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Wednesday, December 1, 2021 - 12:40:08 PM
Last modification on : Friday, March 25, 2022 - 3:31:08 AM


Publisher files allowed on an open archive




Jean Barthélemy, Magali Marx. State-Dependent Probability Distributions in Non Linear Rational Expectations Models. {date}. ⟨hal-03461407⟩



Record views


Files downloads