Title:

Using Time-Varying Transition Probabilities in Markov Switching Processes to Adjust US Fiscal Policy for Asset Prices

Authors:

Gilles Dufrénot (U Aix-Marseille, EHESS)
Ricardo Sousa (U Minho, LSE)
Luca Agnello (U Palermo)

Journal:

Economic Modelling

Year:

2013

Volume:

34

Pages:

25-36

JEL codes:

C51 - Model Construction and Estimation
E44 - Financial Markets and the Macroeconomy
E62 - Fiscal Policy; Public Expenditures, Investment, and Finance; Taxation
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies