%0 Journal Article %A Low, Chin Nam %A Anderson, Heather %A Snyder, Ralph D. %D 2017 %T Beveridge-Nelson decomposition with Markov switching %U https://bridges.monash.edu/articles/journal_contribution/Beveridge-Nelson_decomposition_with_Markov_switching/5091619 %R 10.4225/03/5938f5ed11b5a %2 https://ndownloader.figshare.com/files/8629807 %K Markov switching %K 1959.1/42231 %K Single source of error state space models %K monash:7431 %K Beveridge-Nelson decomposition %K 2006 %X This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the long-run multiplier. %I Monash University