Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download How Well Do Markov Switching Models Describe Actual Business Cycles full books in PDF, epub, and Kindle. Read online How Well Do Markov Switching Models Describe Actual Business Cycles ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Penelope A. Smith
Publisher :
ISBN 13 : 9780734031518
Total Pages : 40 pages
Book Rating : 4.0/5 (315 download)
Download or read book How Well Do Markov Switching Models Describe Actual Business Cycles? written by Penelope A. Smith and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James D. Hamilton
Publisher : Springer Science & Business Media
ISBN 13 : 3642511821
Total Pages : 267 pages
Book Rating : 4.6/5 (425 download)
Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Author : Mr.Zenon Kontolemis
Publisher : International Monetary Fund
ISBN 13 : 1451852967
Total Pages : 20 pages
Book Rating : 4.4/5 (518 download)
Download or read book Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model written by Mr.Zenon Kontolemis and published by International Monetary Fund. This book was released on 1999-08-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process. The procedure is applied to the series that make up the composite U.S. coincident indicator to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series, with encouraging results.
Author : Monica Billio
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Business Cycle and Markov Switching Models with Distributed Lags written by Monica Billio and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Business cycle models are often investigated by using reduced form time series models, other than (or in alternative to) structural highly grounded in economic theory models. Reduced form VARMA with fixed parameters play a key role in business cycle analysis, but it is often found that by their very nature they do not typically capture the changing phases and regimes which characterize the economy. In this paper we show that well-known state space systems used to analyse business cycle in several empirical works can be comprised into a broad class of non linear models, the MSI-VARMA. These processes are M-state Markov switching VARMA models for which the intercept term depends not only on the actual regime but also on the last r regimes. We give stable finite order VARMA representations for these processes, where upper bounds for the stable VARMA orders are elementary functions of the parameters of the initial switching model. If there is no cancellation, the bounds become equalities, and this solves the identification problem. This result allows us to study US and European business cycles and to determine the number of regimes most appropriate for the description of the economic systems. Two regimes are confirmed for the US economy; the European business cycle exhibits, instead, strong non-linearities and more regimes are necessary. This is taken into account when performing estimation and regime identification.
Author : Chengxuan Yu
Publisher :
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.3/5 (121 download)
Download or read book Dynamic Factor Markov Switching Model and Its Applications in Business Cycles written by Chengxuan Yu and published by . This book was released on 2001 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 : 9789289468305
Total Pages : pages
Book Rating : 4.4/5 (683 download)
Download or read book Business Cycle Analysis with Multivariate Markov Switching Models written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the paper is to describe the cyclical phases of the economy using multivariate Markov switching models. The class of Markov switching models can be extended in two main directions in a multivariate framework. In the first approach, the switching dynamics are introduced by way of one common latent factor (Diebold and Rudebusch, 1996). In the second approach, developed by Krolzig (1997), a VAR model with parameters depending on one common Markov chain is considered (MS VAR). We will extend the MS VAR approach allowing for the presence of specific Markov chain in each equation of the VAR (Multiple Markov Switching VAR models, MMS VAR). Dynamic factor models with regime switches, MS VAR and MMS VAR models allow for a multi-country or a multi-sector simultaneous analysis in the search of common phases which are represented by the states of the switching latent factor. Moreover, in the MMS VAR approach we explore the introduction of correlated Markov chains which allow us to evaluate the relationships among phases in different economies or sectors and introduce causality relationships, which allow a more parsimonious representations. We apply the MMS model in order to study the relationship between cyclical phases of the industrial production in the U.S. and Euro zone. Moreover, we construct a MMS model in order to explore the cyclical relationship between the Euro zone industrial production and the industrial component of the European Sentiment Index (ESI).
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author : Piero Ferri
Publisher : Springer Science & Business Media
ISBN 13 : 3642772412
Total Pages : 172 pages
Book Rating : 4.6/5 (427 download)
Download or read book Wages, Regime Switching, and Cycles written by Piero Ferri and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: The initial purposes of this book were to update and extend the discussion and the results presented ill our previous book, The Labor Market and Business Cycle Theories. Our 1990 article, which appeared in The Journal of Economic Behavior and Organization, represented a first step in this direction. The consequences of this effort have materialized in a number of new chapters that has led de facto to a new book, in which the surviving parts have been largely revised. The 1989 book was too mathematically oriented for many Keynesians and post Keynesians to be fully appreciated and insufficiently microfounded for both new classicals and new-Keynesians to be warmly accepted, yet we received positive and encouraging comments, and it was sold out very quickly. It was an attempt to dis cuss dynamics in Keynesian terms, based on a double assumption that maintains its validity-that both economic facts and analytical and methodological innova tions had contributed to a renewed interest in business cycles, which over time has had its "ups and downs." Since then, many more articles and books have appeared, stressing in particular the role of microfoundations and of nonlinearities in shaping business cycle theory.
Author :
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (63 download)
Download or read book Identification and Normalization in Markov Switching Models of "business Cycles" written by and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Monica Billio
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dynamical Interaction Between Financial and Business Cycles written by Monica Billio and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We adopt the Dynamical Influence model from computer science and transform it to study the interaction between business and financial cycles. For this purpose, we merge it with Markov-Switching Dynamic Factor Model (MS-DFM) which is frequently used in economic cycle analysis. The model suggested in this paper, the Dynamical Influence Markov-Switching Dynamic Factor Model (DI-MS-FM), allows to reveal the pattern of interaction between business and financial cycles in addition to their individual characteristics. More specifically, this model allows to describe quantitatively the existing regimes of interaction in a given economy and to identify their timing, as well as to evaluate the effect of the government policy on the duration of each of the regimes. We are also able to determine the direction of causality between the two cycles for each of the regimes. The model estimated on the US data demonstrates reasonable results, identifying the periods of higher interaction between the cycles in the beginning of 1980s and during the Great Recession, while in-between the cycles evolve almost independently. The output of the model can be useful for policymakers since it provides a timely estimate of the current interaction regime, which allows to adjust the timing and the composition of the policy mix.
Author : Wasim Ahmad
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Modeling Business Cycles in India written by Wasim Ahmad and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper uses Markov Switching AR approach to model business cycles in Indian economy during the period 1982-2009, using quarterly data on industrial production. For the current cycle, the MS (2)-AR (4) model predicts that the probability of expansion is higher than the probability of contraction and on average the expansion regime will persist more than 13 quarters, whereas the average contraction persistence is only 4 quarters. The results also show that sub prime crisis has ended in India from 2009 quarter two. The results of the study confirm the findings of the previous studies about the dating and turning points in the Indian business cycles.
Author : Yunjong Eo
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book Markov-Switching Models with Evolving Regime-Specific Parameters written by Yunjong Eo and published by . This book was released on 2015 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We introduce a random walk hierarchical prior for each regime-specific mean growth rate and impose a cointegrating relationship between the mean growth rates in recessionary and expansionary periods. By applying the proposed model to postwar U.S. real GDP growth (1947:Q4-2011:Q3), we uncover the evolving nature of the regime-specific mean growth rates of real output in the U.S. business cycle. Additional features of the postwar U.S. business cycle that we uncover include: i) a steady decline in the long-run mean growth rate of real output over the postwar sample and ii) an asymmetric error-correction mechanism when the economy deviates from its long-run equilibrium.
Author : Michael D. Boldin
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (249 download)
Download or read book Characterizing Business Cycles with a Markov Switching Model written by Michael D. Boldin and published by . This book was released on 1990 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ms.Valerie Cerra
Publisher : International Monetary Fund
ISBN 13 : 1513536990
Total Pages : 50 pages
Book Rating : 4.5/5 (135 download)
Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
Author : Chang-Jin Kim
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (58 download)
Download or read book A Markov-switching Model of Business Cycle Dynamics with a Post-recession "bounce-back" Effect written by Chang-Jin Kim and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Allan Donald Harding
Publisher :
ISBN 13 : 9780734014658
Total Pages : 36 pages
Book Rating : 4.0/5 (146 download)
Download or read book Dissecting the Cycle written by Allan Donald Harding and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. Milas
Publisher : Emerald Group Publishing
ISBN 13 : 044451838X
Total Pages : 461 pages
Book Rating : 4.4/5 (445 download)
Download or read book Nonlinear Time Series Analysis of Business Cycles written by C. Milas and published by Emerald Group Publishing. This book was released on 2006-02-08 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?
