End-to-End Python implementation of Markov-Switching VAR framework for detecting endogenous financial fragility. Replicates Delli Gatti et al.'s (2025) methodology using EM algorithm, Hamilton filtering, and HP spectral decomposition to empirically test Minsky's Financial Instability Hypothesis in macroeconomic data.
python jupyter-notebook scientific-computing econometrics data-analysis nonlinear-dynamics em-algorithm time-series-analysis macroeconomics statistical-modeling vector-autoregression financial-stability financial-economics markov-switching business-cycles economic-cycles systemic-risk regime-switching research-replication minsky-hypothesis
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Updated
Nov 23, 2025 - Jupyter Notebook