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Author : Paul William Simpson
Publisher :
ISBN 13 :
Total Pages : 299 pages
Book Rating : 4.:/5 (644 download)
Download or read book Modelling U.K. and U.S. Business Cycles Using Markov Regime Switching Models written by Paul William Simpson and published by . This book was released on 1998 with total page 299 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 : Fida Hussain
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (642 download)
Download or read book The Markov-switching Model as Applied to the UK and US Business Cycles written by Fida Hussain and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Jiazhuo G. Wang
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.:/5 (343 download)
Download or read book On the Use of the Markov Regime-switching Model in Forecasting Business Cycle written by Jiazhuo G. Wang and published by . This book was released on 1993 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zenon G. Kontolemis
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book Analysis of the U.S. Business Cycle with a Vector-Markov-switching Model written by Zenon G. Kontolemis and published by . This book was released on 1999 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hans-Martin Krolzig
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (49 download)
Download or read book A Disaggregated Markov-switching Model of the UK Business Cycle written by Hans-Martin Krolzig and published by . This book was released on 1998 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Hans-Martin Krolzig
Publisher : Springer
ISBN 13 : 9783642516856
Total Pages : 357 pages
Book Rating : 4.5/5 (168 download)
Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer. This book was released on 2014-03-12 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
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 : 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?
Author : G. Elliott
Publisher : Elsevier
ISBN 13 : 0444513957
Total Pages : 1071 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Author : Terence C. Mills
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Multivariate Markov Switching Common Factor Models for the UK. written by Terence C. Mills and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a model that incorporates two key features of business cycles, comovement among economic variables and switching between regimes of boom and slump, to quarterly UK data for the last four decades. A common factor, interpreted as a composite indicator of coincident variables, and estimates of turning points from one regime to the other, are extracted from the data by using the Kalman filter and maximum likelihood estimation. Both comovement and regime switching are found to be important features of the UK business cycle. The composite indicator produces a sensible representation of the cycle and the estimated turning points agree fairly well with independently determined chronologies. These estimates are sharper than those produced by a univariate Markov switching model of GDP alone. A fairly typical stylized fact of business cycles is confirmed by this model - recessions are steeper and shorter than recoveries.
Download or read book Regime-switching in Expectations Over the Business Cycle written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of Philadelphia presents the full text of the November 1999 working paper entitled "Regime-switching in Expectations Over the Business Cycle," written by Gwen Eudey and Roberto Perli. The text is available in PDF format. This paper argues that a reason why output and other major U.S. macroeconomic time series seem to follow a Markov switching process could be related to expectations. The authors offer a business cycle model with shocks to expectations that produces time series with the same properties as the U.S. data.
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:
