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Some differences with their paper : * Instead of using the Kansas City Financial Stress Index (KCFSI), the MOD file considers the interpolated monthly real GDP. * The coefficients b_{11} and b_{22} are considered constant in Davig and Hakkio (2010) whereas in the MOD file, they follow the markov switching process. |
Example :
What is the effect of financial stress on economic activity ?, Troy Davig and Craig Hakkio (2010)
Some differences with their paper :
- Instead of using the Kansas City Financial Stress Index (KCFSI), the MOD file considers the interpolated monthly real GDP.
- The coefficients b_{11} and b_{22} are considered constant in Davig and Hakkio (2010) whereas in the MOD file, they follow the markov switching process.