Bounding tail probabilities in dynamic economic models

Date

2012

Authors

Stachurski, John

Journal Title

Journal ISSN

Volume Title

Publisher

Cambridge University Press

Abstract

This paper provides conditions for bounding tail probabilities in stochastic economic models in terms of their transition laws and shock distributions. Particular attention is given to conditions under which the tails of stationary equilibria have exponential decay. By way of illustration, the technique is applied to a threshold autoregression model of exchange rates.

Description

Keywords

Keywords: Ergodicity; Stationary Distributions; Tail Events

Citation

Source

Macroeconomic Dynamics

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1017/S136510051100054X

Restricted until

2037-12-31