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Sudden stop regimes and output: a Markov switching analysis. (2013). Bachmann, Andreas.
In: Diskussionsschriften.
RePEc:ube:dpvwib:dp1307.

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  7. Calvo, G. A., A. Izquierdo, and L.-F. Mejia (2004). On the Empirics of Sudden Stops: The Relevance of Balance-Sheet Effects. NBER Working Papers 10520, National Bureau of Economic Research, Inc.
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  8. Chari, V. V., P. J. Kehoe, and E. R. McGrattan (2005). Sudden Stops and Output Drops. American Economic Review 95(2), 381–387.

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  14. IMF (2011). Global Financial Stability Report: Grappling with Crisis Legacies.
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  22. We use the algorithm proposed by Rubio-Ramırez et al. (2010) to identify structural VAR models using sign restrictions. The procedure is as follows: Take any value of the unrestricted structural parameters A0, A1, . . ., Ap. Denote this values A0, A1, . . ., Ap. Then, the algorithm repeats three steps. (Step 1) An independent standard normal n × n matrix H is drawn, where n is the number of endogenous variables in the VAR. Let H = QR be the QR decomposition of H with the diagonal of R normalized to be positive. (Step 2) Let P = Q and generate impulse response functions from A0P and Φ(L). (Step 3) If these responses satisfy the pre-specified sign restrictions, the draw is kept. Otherwise, the draw is rejected and the algorithm returns to the first step. Starting out with a draw A0, A1, . . ., Ap of unrestricted parameters, A0P, A1P, . . ., ApP is a draw of structural parameters that satisfy the sign restrictions.
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