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Analysis Of The Us Business Cycle With A Vector Markov Switching Model
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Book Synopsis Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model by : Mr.Zenon Kontolemis
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.
Book Synopsis Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model by : Zenon G. Kontolemis
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 2006 with total page 19 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.
Book Synopsis Markov-Switching Vector Autoregressions by : Hans-Martin Krolzig
Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 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.
Book Synopsis Advances in Markov-Switching Models by : James D. Hamilton
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.
Book Synopsis Analysis of the Business Cycle with a Vector Markov Switching Model by : Zenon G. Kontolemis
Download or read book Analysis of the 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 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-Switching Vector Autoregressions by : Hans-Martin Krolzig
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.
Book Synopsis Analysis of the U.S. Business Cycle with a Vector-Markov-switching Model by : Zenon G. Kontolemis
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:
Book Synopsis A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy by : Florian Huber
Download or read book A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy written by Florian Huber and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a broad set of indicators that influence business cycle movements. The model is used to investigate the relationship between business cycle phases and monetary policy. Our results indicate that the effects of monetary policy are stronger in recessions, whereas the responses are more muted in expansionary phases. Moreover, lagged prices serve as good predictors for business cycle transitions.
Book Synopsis Dynamic Factor Markov Switching Model and Its Applications in Business Cycles by : Chengxuan Yu
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:
Book Synopsis Nonlinear Time Series Analysis of Business Cycles by : C. Milas
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?
Book Synopsis Business Cycle and Markov Switching Models with Distributed Lags by : Monica Billio
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.
Book Synopsis Business Cycle Analysis with Multivariate Markov Switching Models by :
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).
Book Synopsis A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment by : Hans-Martin Krolzig
Download or read book A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment written by Hans-Martin Krolzig and published by . This book was released on 2001 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Book Synopsis Using Switching Models to Study Business Cycle Asymmetries by : Michael D. Boldin
Download or read book Using Switching Models to Study Business Cycle Asymmetries written by Michael D. Boldin and published by . This book was released on 1992 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structural Changes and their Econometric Modeling by : Vladik Kreinovich
Download or read book Structural Changes and their Econometric Modeling written by Vladik Kreinovich and published by Springer. This book was released on 2018-11-24 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.
Book Synopsis Dynamic Factor Models by : Siem Jan Koopman
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
