Bounding tail probabilities in dynamic economic models

John Stachurski

doi:10.1017/S136510051100054X

Bounding tail probabilities in dynamic economic models

John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	117-126
Number of pages	10
Journal	Macroeconomic Dynamics
Volume	16
Issue number	SUPPL. 1
DOIs	https://doi.org/10.1017/S136510051100054X
Publication status	Published - Apr 2012

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title = "Bounding tail probabilities in dynamic economic models",

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.",

keywords = "Ergodicity, Stationary Distributions, Tail Events",

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year = "2012",

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AB - 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.

KW - Ergodicity

KW - Stationary Distributions

KW - Tail Events

UR - https://www.scopus.com/pages/publications/84859315471

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DO - 10.1017/S136510051100054X

M3 - Article

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VL - 16

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EP - 126

JO - Macroeconomic Dynamics

JF - Macroeconomic Dynamics

IS - SUPPL. 1

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Bounding tail probabilities in dynamic economic models

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