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BOUNDING TAIL PROBABILITIES IN DYNAMIC ECONOMIC MODELS

Published online by Cambridge University Press:  30 December 2011

John Stachurski
John Stachurski*
Affiliation:
Australian National University
*
Address correspondence to: John Stachurski, Research School of Economics, Australian National University, ACT 0200, Australia; e-mail: john.stachurski@anu.edu.au.
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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

Tail EventsErgodicityStationary Distributions
Type
Articles
Information
Macroeconomic Dynamics , Volume 16 , Supplement S1: Nonlinear Dynamics in Equilibrium Models , April 2012 , pp. 117 - 126
Copyright
Copyright © Cambridge University Press 2011

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References

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