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Citations of
Chang-Jin Kim

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Working papers

  1. Chang-Jin Kim & James Morley & Jeremy M. Piger, 2006. "A Bayesian approach to counterfactual analysis of structural change," Working Papers 2004-014, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:

    Cited by:

    1. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany. [Downloadable!]
    2. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]

  2. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The Univeristy of Manchester. [Downloadable!]
    2. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series wp2006n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
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  3. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

    Cited by:

    1. Siddhartha Chib & Michael J. Dueker, 2004. "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers 2004-030, Federal Reserve Bank of St. Louis. [Downloadable!]
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  4. Chang-Jin Kim & Charles Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis. [Downloadable!]
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    Published as:

    Cited by:

    1. Steven J. Davis & James A. Kahn, 2008. "Interpreting the Great Moderation: changes in the volatility of economic activity at the macro and micro Levels," Staff Reports 334, Federal Reserve Bank of New York. [Downloadable!]
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    2. Meenagh, David & Minford, Patrick & Nowell, Eric & Sofat, Prakriti & Srinivasan, Naveen, 2008. "Can the Facts of UK Inflation Persistence be Explained by Nominal Rigidity?," CEPR Discussion Papers 6834, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    3. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper 06-05, Federal Reserve Bank of Richmond. [Downloadable!]
    4. Jonathan McCarthy & Egon Zakrajsek, 2003. "Inventory dynamics and business cycles: what has changed?," Finance and Economics Discussion Series 2003-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    5. D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006. "(Un)Predictability and Macroeconomic Stability," Research Technical Papers 5/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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    6. Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006. "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006 131, Society for Computational Economics. [Downloadable!]
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    7. F. Owen Irvine & Scott Schuh, 2005. "Interest sensitivity and volatility reductions: cross-section evidence," Working Papers 05-4, Federal Reserve Bank of Boston. [Downloadable!]
    8. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
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    9. Karen E. Dynan & Douglas W. Elmendorf & Daniel E. Sichel, 2005. "Can financial innovation help to explain the reduced volatility of economic activity?," Finance and Economics Discussion Series 2005-54, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    10. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute. [Downloadable!]
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    11. Wiliam Branch & George W. Evans, 2005. "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers 2005-21, University of Oregon Economics Department, revised 26 Oct 2006. [Downloadable!]
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    12. D.J. van Dijk & D.R. Osborn & M. Sensier, 2002. "Changes in variability of the business cycle in the G7 countries," Econometric Institute Report 282, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    13. Arabinda Basistha & Richard Startz, 2004. "Why were changes in the federal funds rate smaller in the 1990s?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 339-354. [Downloadable!]
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    14. James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    15. Konstantin A., KHOLODILIN & Wension Vincent, YAO, 2004. "Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    16. William T. Gavin & Finn E. Kydland & Michael R. Pakko, 2006. "Monetary policy, taxes and the business cycle," Working Papers 2004-017, Federal Reserve Bank of St. Louis. [Downloadable!]
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    17. Luca Benati, . "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England. [Downloadable!]
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    18. Andrew T. Levin & Jeremy M. Piger, 2003. "Is inflation persistence intrinsic in industrial economies?," Working Papers 2002-023, Federal Reserve Bank of St. Louis. [Downloadable!]
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    19. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    20. Wen, Yi, 2004. "Durable Goods Inventories and the Volatility of Production: Explaining the Less Volatile U.S. Economy," Working Papers 04-01, Cornell University, Center for Analytic Economics. [Downloadable!]
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    21. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series 2004-52, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    22. M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The Univeristy of Manchester. [Downloadable!]
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    23. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Working Papers 04-39, Bank of Canada. [Downloadable!]
    24. Tatsuyoshi Okimoto & Katsumi Shimotsu, 2007. "Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity," Working Papers 1138, Queen's University, Department of Economics. [Downloadable!]
    25. Valerie A. Ramey & Daniel J. Vine, 2005. "Tracking the source of the decline in GDP volatility: an analysis of the automobile industry," Finance and Economics Discussion Series 2005-14, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    26. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia. [Downloadable!]
    27. Steven J. Davis & James A. Kahn, 2007. "Macroeconomic implications of changes in micro volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
    28. Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany. [Downloadable!]
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    29. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    30. Chang-Jin Kim & James Morley & Jeremy M. Piger, 2006. "A Bayesian approach to counterfactual analysis of structural change," Working Papers 2004-014, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    31. Owen Irvine & Scott Schuh, 2002. "Inventory investment and output volatility," Working Papers 02-6, Federal Reserve Bank of Boston. [Downloadable!]
    32. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge. [Downloadable!]
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    33. James A. Kahn & Margaret M. McConnell & Gabriel Perez-Quiros, 2002. "On the causes of the increased stability of the U.S. economy," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 183-202. [Downloadable!]
    34. Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005. "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers 2006,02, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    35. Kevin J. Stiroh, 2006. "Volatility accounting: a production perspective on increased economic stability," Staff Reports 245, Federal Reserve Bank of New York. [Downloadable!]
    36. Owen Irvine & Scott Schuh, 2007. "The roles of comovement and inventory investment in the reduction of output volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
    37. James B. Bullard & Aarti Singh, 2009. "Learning and the Great Moderation," Working Papers 2007-027, Federal Reserve Bank of St. Louis. [Downloadable!]
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    38. Luca Benati & Paolo Surico, 2006. "The Great Moderation and the ‘Bernanke Conjecture’," Computing in Economics and Finance 2006 158, Society for Computational Economics. [Downloadable!]
    39. Efrem Castelnuovo, 2006. "Assessing Different Drivers of the GreatModeration in the U.S," "Marco Fanno" Working Papers 0025, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    40. David Meenagh & Patrick Minford & Eric Nowell & Prakriti Sofat & Naveen Srinivasan, 2007. "Are the facts of UK inflation persistence to be explained by nominal rigidity or changes in monetary regime?," WEF Working Papers 0028, ESRC World Economy and Finance Research Programme, Birkbeck, University of London. [Downloadable!]
    41. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Papers 367, University of Pittsburgh, Department of Economics, revised Sep 2008. [Downloadable!]
    42. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute. [Downloadable!]
    43. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
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  5. Chang-Jin Kim & James Morley & Jeremy Piger, 2003. "Nonlinearity and the permanent effects of recessions," Working Papers 2002-014, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

    Cited by:

    1. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics. [Downloadable!]
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    2. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood," PIER Working Paper Archive 04-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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    3. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2004. "Business cycle phases in U.S. states," Working Papers 2003-011, Federal Reserve Bank of St. Louis. [Downloadable!]
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    4. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 47-61. [Downloadable!]
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    5. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    6. Ugo Panizza & Valerie Cerra & Sweta Chaman Saxena, 2009. "International Evidence on Recovery from Recessions," IMF Working Papers 09/183, International Monetary Fund. [Downloadable!]
    7. Michael J. Dueker, 2006. "Using cyclical regimes of output growth to predict jobless recoveries," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 145-154. [Downloadable!]
    8. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Papers 367, University of Pittsburgh, Department of Economics, revised Sep 2008. [Downloadable!]
    9. Maximo Camacho & Gabriel Perez Quiros, 2007. "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4). [Downloadable!]
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    10. James Morley & Jeremy M. Piger, 2005. "A steady-state approach to trend/cycle decomposition of regime-switching processes," Working Papers 2004-006, Federal Reserve Bank of St. Louis. [Downloadable!]

  6. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

    Cited by:

    1. Yoon & Jae Ho, 2004. "Has the G7 business cycle become more synchronized ?," Econometric Society 2004 Far Eastern Meetings 782, Econometric Society. [Downloadable!]
    2. Yoon & Jae Ho, 2004. "Oil and the G7 business cycle : Friedman's Plucking Markov Switching Approach," Econometric Society 2004 Far Eastern Meetings 773, Econometric Society. [Downloadable!]

  7. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Discussion Papers in Economics at the University of Washington 0023, Department of Economics at the University of Washington. [Downloadable!]

    Cited by:

    1. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    2. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
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    3. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]

  8. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington. [Downloadable!]
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    Published as:

    Cited by:

    1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    2. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE. [Downloadable!]
    3. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover from the Asian Crisis?," IMF Working Papers 03/48, International Monetary Fund. [Downloadable!]
    4. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics. [Downloadable!]
    5. Whelan, Karl, 2006. "New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations," MPRA Paper 5910, University Library of Munich, Germany. [Downloadable!]
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    6. Valerie Cerra & Sweta C. Saxena, 2005. "Eurosclerosis or Financial Collapse: Why Did Swedish Incomes Fall Behind?," Macroeconomics 0508007, EconWPA. [Downloadable!]
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    7. Shyh-Wei Chen, 2006. "Enhanced reliability of the leading indicator in identifying turning points in Taiwan? an evaluation," Economics Bulletin, Economics Bulletin, vol. 5(10), pages 1-17. [Downloadable!]
    8. Silvestro Di Sanzo, 2006. "Output fluctuations persistence: Do cyclical shocks matter?," Working Papers 2006_21, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    9. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    10. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
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    11. Eric Girardin, 2004. "Regime-dependent synchronization of growth cycles between Japan and East Asia," Money Macro and Finance (MMF) Research Group Conference 2004 66, Money Macro and Finance Research Group. [Downloadable!]
    12. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics. [Downloadable!]

  9. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
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    Published as:

    Cited by:

    1. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics. [Downloadable!]

  10. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington. [Downloadable!]
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    Published as:

    Cited by:

    1. Jacob Boudoukh & Matthew Richardson & Tom Smith & Robert Whitelaw, 1999. "Regime Shifts and Bond Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-010, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington. [Downloadable!]
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    3. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    4. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
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  11. Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Bergman, Michael & Cheung, Yin-Wong & Lai, Kon S., 2000. "Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices," Working Papers 2000:4, Lund University, Department of Economics. [Downloadable!]
    2. Kleopatra Nikolaou, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 667, European Central Bank. [Downloadable!]
    3. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," IMF Working Papers 03/111, International Monetary Fund. [Downloadable!]
    4. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group. [Downloadable!]
    5. Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics. [Downloadable!]
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    6. Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics. [Downloadable!]
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    7. Alvaro Montenegro, 2005. "Introducción al filtro Kalman," DOCUMENTOS DE ECONOMÍA 002920, UNIVERSIDAD JAVERIANA - BOGOTÁ. [Downloadable!]
    8. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    9. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
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    10. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics. [Downloadable!]
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    11. Choi, In, 1999. "Testing the Random Walk Hypothesis for Real Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June. [Downloadable!]
    12. Francis W. Ahking, 2002. "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers 2002-18, University of Connecticut, Department of Economics. [Downloadable!]
    13. Caner, Mehmet & Kilian, Lutz, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers 2425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    14. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics. [Downloadable!]
    15. Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    16. Michael Bergman & Yin-Wong Cheung & Kon S. Lai, 2005. "The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations," FRU Working Papers 2005/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    17. Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 0050, Department of Economics at the University of Washington. [Downloadable!]
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  12. Charles R. Nelson & Chang-Jin Kim, 1988. "The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis," NBER Technical Working Papers 0070, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Marwan Elkhoury, 2005. "A Time-Varying Parameter Model of A Monetary Policy Rule for Switzerland. The Case of the Lucas and Friedman Hypothesis," HEI Working Papers 01-2006, Economics Section, The Graduate Institute of International Studies. [Downloadable!]

Articles

  1. Jeremy Piger & James Morley & Chang-Jin Kim, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  2. Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004. "The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 80-93, January.
    Other versions:

    See citations under working paper version above.

  3. Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Chang-Jin Kim & Christian J. Murray, 2002. "Permanent and transitory components of recessions," Empirical Economics, Springer, vol. 27(2), pages 163-183. [Downloadable!] (restricted)

    Cited by:

    1. James A. Kahn & Robert Rich, 2003. "Tracking the new economy: using growth theory to detect changes in trend productivity," Staff Reports 159, Federal Reserve Bank of New York. [Downloadable!]
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    2. Jeremy Piger & James Morley & Chang-Jin Kim, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309. [Downloadable!]
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    3. Ebrima Faal, 2005. "GDP Growth, Potential Output, and Output Gaps in Mexico," IMF Working Papers 05/93, International Monetary Fund. [Downloadable!]
    4. Yoon & Jae Ho, 2004. "Has the G7 business cycle become more synchronized ?," Econometric Society 2004 Far Eastern Meetings 782, Econometric Society. [Downloadable!]
    5. Valerie Cerra & Sweta Chaman Saxena, 2005. "Eurosclerosis or Financial Collapse: Why Did Swedish Incomes Fall Behind?," IMF Working Papers 05/29, International Monetary Fund. [Downloadable!]
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    6. James A Kahn & Robert Rich, 2003. "Distinguishing trends from cycles in productivity," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 443-462 Bank for International Settlements. [Downloadable!]
    7. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December. [Downloadable!] (restricted)
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    8. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics. [Downloadable!]
    9. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    10. Charles I. Jones, 2003. "Growth, capital shares, and a new perspective on production functions," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
    11. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series wp2006n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    12. Mark W. French, 2005. "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series 2005-12, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de España Working Papers 0518, Banco de España. [Downloadable!]
      Other versions:

  5. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. Kim, Chang-Jin & Nelson, Charles R, 2001. "A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
    Other versions:

    See citations under working paper version above.

  7. Kim, Chang-Jin & Nelson, Charles R, 1999. "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 317-34, August.

    Cited by:

    1. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    2. James A. Kahn & Robert Rich, 2003. "Tracking the new economy: using growth theory to detect changes in trend productivity," Staff Reports 159, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    3. Jeremy Piger & James Morley & Chang-Jin Kim, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309. [Downloadable!]
      Other versions:
    4. Ting Qin & Walter Enders, 2007. "Modeling Smooth Structural Changes in the Trend of US Real GDP," Working Papers 2008-09 Classification-E3, Saint Cloud State University, Department of Economics, revised Feb 2008. [Downloadable!]
    5. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    6. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics. [Downloadable!]
    7. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages C125-C139, March. [Downloadable!] (restricted)
      Other versions:
    8. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú. [Downloadable!]
    9. David Mayes & Matti Viren, 2002. "Asymmetry and the Problem of Aggregation in the Euro Area," Empirica, Springer, vol. 29(1), pages 47-73, March. [Downloadable!] (restricted)
      Other versions:
    10. Toshiya Ishikawa, 2004. "Technology Diffusion and Business Cycle Asymmetry," DEGIT Conference Papers c009_016, DEGIT, Dynamics, Economic Growth, and International Trade. [Downloadable!]
    11. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    12. Mayes , David G. & Virén , Matti, 2004. "Asymmetries in the Euro area economy," Research Discussion Papers 9/2004, Bank of Finland. [Downloadable!]
      Other versions:
    13. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    14. Marcelle Chauvet & Jeremy Piger, 2002. "Identifying business cycle turning points in real time," Working Paper 2002-27, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    15. Eric Girardin, 2005. "Growth-cycle features of East Asian countries: are they similar?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(2), pages 143-156. [Downloadable!]
    16. Thomas B. King, 2005. "Labor productivity and job-market flows: trends, cycles, and correlations," Supervisory Policy Analysis Working Papers 2005-04, Federal Reserve Bank of St. Louis. [Downloadable!]
    17. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics. [Downloadable!]
    18. Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society. [Downloadable!]
    19. Mark W. French, 2005. "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series 2005-12, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    20. Eric Girardin, 2004. "Regime-dependent synchronization of growth cycles between Japan and East Asia," Money Macro and Finance (MMF) Research Group Conference 2004 66, Money Macro and Finance Research Group. [Downloadable!]
    21. Darrel Cohen, 2000. "A quantitative defense of stabilization policy," Finance and Economics Discussion Series 2000-34, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  8. Engel, Charles & Kim, Chang-Jin, 1999. "The Long-Run U.S./U.K. Real Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 335-56, August.
    Other versions:

    See citations under working paper version above.

  9. Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November. [Downloadable!] (restricted)

    Cited by:

    1. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    2. Steven J. Davis & James A. Kahn, 2008. "Interpreting the Great Moderation: changes in the volatility of economic activity at the macro and micro Levels," Staff Reports 334, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    3. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Discussion Papers in Economics at the University of Washington 0024, Department of Economics at the University of Washington. [Downloadable!]
    4. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    5. Xavier Debrun & Jean Pisani-Ferry & André Sapir, 2008. "Government Size and Output Volatility: Should We Forsake Automatic Stabilization?," IMF Working Papers 08/122, International Monetary Fund. [Downloadable!]
    6. P J Perez & D R Osborn & M Artis, 2003. "The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks," Centre for Growth and Business Cycle Research Discussion Paper Series 37, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:
    7. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper 06-05, Federal Reserve Bank of Richmond. [Downloadable!]
    8. John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16. [Downloadable!]
      Other versions:
    9. Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006. "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006 131, Society for Computational Economics. [Downloadable!]
      Other versions:
    10. Fiess, Norbert & Shankar, Rashmi, 2005. "Regime-switching in exchange rate policy and balance sheet effects," Policy Research Working Paper Series 3653, The World Bank. [Downloadable!]
      Other versions:
    11. Robert A Buckle & David Haugh & Peter Thomson, 2001. "Calm after the Storm?: Supply-side contributions to New Zealand’s GDP volatility decline," Treasury Working Paper Series 01/33, New Zealand Treasury. [Downloadable!]
    12. Olaf Posch, 2006. "Explaining Output Volatility: the Case of Taxation," Quantitative Macroeconomics Working Papers 20608, Hamburg University, Department of Economics. [Downloadable!]
      Other versions:
    13. Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," Working Paper 2003-25, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    14. F. Owen Irvine & Scott Schuh, 2005. "Interest sensitivity and volatility reductions: cross-section evidence," Working Papers 05-4, Federal Reserve Bank of Boston. [Downloadable!]
    15. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York. [Downloadable!]
    16. Antonello D’Agostino & Domenico Giannone & Paolo Surico, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series 605, European Central Bank. [Downloadable!]
      Other versions:
    17. Marco Cipriani & Graciela L. Kaminsky, 2006. "Volatility in International Financial Market Issuance: The Role of the Financial Center," NBER Working Papers 12587, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    18. Ricardo Reis, 2004. "Inattentive Consumers," NBER Working Papers 10883, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. F. Owen Irvine, 2004. "Sales persistence and the reductions in GDP volatility," Working Papers 05-5, Federal Reserve Bank of Boston. [Downloadable!]
    20. Wiliam Branch & George W. Evans, 2005. "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers 2005-21, University of Oregon Economics Department, revised 26 Oct 2006. [Downloadable!]
      Other versions:
    21. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    22. Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute. [Downloadable!]
      Other versions:
    23. Luca Benati, . "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England. [Downloadable!]
      Other versions:
    24. Marcus Hagedorn, 2007. "A Monetary Model with Strong Liquidity Effects," IEW - Working Papers iewwp353, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    25. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics. [Downloadable!]
      Other versions:
    26. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    27. Pau Rabanal & Juan F. Rubio-Ramirez & Vicente Tuesta, 2009. "Cointegrated TFP processes and international business cycles," Working Paper 2009-23, Federal Reserve Bank of Atlanta. [Downloadable!]
    28. Don H. Kim & Athanasios Orphanides, 2005. "Term structure estimation with survey data on interest rate forecasts," Finance and Economics Discussion Series 2005-48, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    29. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series 2004-52, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    30. Peter M. Summers, 2005. "What caused the Great Moderation? : some cross-country evidence," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 5-32. [Downloadable!]
    31. Gerald Carlino & Robert DeFina & Keith Sill, 2005. "On the stability of employment growth: a postwar view from the U.S. states," Working Papers 04-21, Federal Reserve Bank of Philadelphia. [Downloadable!]
    32. Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004. "Patterns of Comovement: The Role of Information Technology in the U.S. Economy," NBER Working Papers 10937, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    33. Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    34. Valerie A. Ramey & Daniel J. Vine, 2005. "Tracking the source of the decline in GDP volatility: an analysis of the automobile industry," Finance and Economics Discussion Series 2005-14, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    35. Xavier Gabaix, 2004. "Power laws and the origins of aggregate fluctuations," Econometric Society 2004 North American Summer Meetings 484, Econometric Society. [Downloadable!]
    36. Todd E. Clark & Taisuke Nakata, 2006. "The trend growth rate of employment : past, present, and future," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 43-85. [Downloadable!]
    37. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings, Federal Reserve Bank of Kansas City, pages 9-56. [Downloadable!]
    38. Steven J. Davis & James A. Kahn, 2007. "Macroeconomic implications of changes in micro volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
    39. Jordi Galí & Luca Gambetti, 2006. "On the Sources of the Great Moderation," Economics Working Papers 1041, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2007. [Downloadable!]
    40. Gerald Carlino & Robert DeFina & Keith Sill, 2002. "The cyclical behavior of state employment during the postwar period," Working Papers 02-14, Federal Reserve Bank of Philadelphia. [Downloadable!]
    41. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany. [Downloadable!]
    42. Chang-Jin Kim & James Morley & Jeremy M. Piger, 2006. "A Bayesian approach to counterfactual analysis of structural change," Working Papers 2004-014, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    43. Owen Irvine & Scott Schuh, 2002. "Inventory investment and output volatility," Working Papers 02-6, Federal Reserve Bank of Boston. [Downloadable!]
    44. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December. [Downloadable!] (restricted)
      Other versions:
    45. Kevin J. Stiroh, 2006. "Volatility accounting: a production perspective on increased economic stability," Staff Reports 245, Federal Reserve Bank of New York. [Downloadable!]
    46. Keith Kuester, 2007. "Real price and wage rigidities in a model with mataching frictions," Working Paper Series 720, European Central Bank. [Downloadable!]
    47. Gerald Carlino & Robert DeFina & Keith Sill, 2003. "Postwar period changes in employment volatility: new evidence from state/industry panel data," Working Papers 03-18, Federal Reserve Bank of Philadelphia. [Downloadable!]
    48. Owen Irvine & Scott Schuh, 2007. "The roles of comovement and inventory investment in the reduction of output volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
    49. Dennis Gaertner, 2007. "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," Working Papers 0719, University of Zurich, Socioeconomic Institute. [Downloadable!]
    50. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    51. Valerie A. Ramey & Daniel J. Vine, 2005. "Declining Volatility in the U.S. Automobile Industry," NBER Working Papers 11596, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    52. James Feigenbaum & Geng Li, 2008. "A Nonparametric Characterization of Income Uncertainty over the Lifecycle," Working Papers 359, University of Pittsburgh, Department of Economics, revised Jul 2008. [Downloadable!]
    53. Todd E. Clark & Taisuke Nakata, 2008. "Has the behavior of inflation and long-term inflation expectations changed?," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 17-50. [Downloadable!]
    54. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, EconWPA. [Downloadable!]
    55. Florin Ovidiu Bilbiie & André Meier & Gernot J. Müller, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 582, European Central Bank. [Downloadable!]
    56. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    57. Peter Tulip, 2005. "Has output become more predictable? changes in Greenbook forecast accuracy," Finance and Economics Discussion Series 2005-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    58. Gerald Carlino & Robert DeFina & Keith Sill, 2007. "The long and large decline in state employment growth volatility," Working Papers 07-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    59. Ryan R. Brady, 2006. "Structural Breaks and Consumer Credit: Is Consumption Smoothing Finally a Reality?," Departmental Working Papers 13, United States Naval Academy Department of Economics. [Downloadable!]
      Other versions:

  10. Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June. [Downloadable!] (restricted)

    Cited by:

    1. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Kleopatra Nikolaou, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 667, European Central Bank. [Downloadable!]
    3. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    4. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group. [Downloadable!]
    5. WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
      Other versions:
    6. Laurini, M. P. & Portugal, M. S., 2003. "Long Memory int the R$/US$ Exchange Rate: A Robust Analysis," Finance Lab Working Papers flwp_50, Finance Lab, Ibmec São Paulo. [Downloadable!]
    7. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000. [Downloadable!]
    8. Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics. [Downloadable!]
    10. Jun Ma & Charles R. Nelson & Richard Startz, 2007. "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1). [Downloadable!]
      Other versions:
    11. Laurini, M. P. & Portugal, M. S., 2003. "Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate," Finance Lab Working Papers flwp_51, Finance Lab, Ibmec São Paulo. [Downloadable!]
    12. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    13. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March. [Downloadable!] (restricted)
    14. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics. [Downloadable!]
    15. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society. [Downloadable!]
    16. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society. [Downloadable!]
    17. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA. [Downloadable!]
    18. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]
    19. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]

  11. Kim, Chang-Jin & Nelson, Charles R., 1998. "Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 385-396, October. [Downloadable!] (restricted)

    Cited by:

    1. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society. [Downloadable!]
    2. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]

  12. Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May. [Downloadable!] (restricted)

    Cited by:

    1. Michael T. Owyang, 2002. "Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR," Working Papers 2002-018, Federal Reserve Bank of St. Louis. [Downloadable!]
    2. Sarantis Tsiaplias, 2009. "Examining Feedback, Momentum and Overreaction in National Equity Markets," Melbourne Institute Working Paper Series wp2009n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    3. Akifumi Isogai & Satoru Kanoh & Toshifumi Tokunaga, 2004. "An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market," Hi-Stat Discussion Paper Series d04-43, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    4. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2004. "Business cycle phases in U.S. states," Working Papers 2003-011, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    5. Michael J. Dueker & Andreas M. Fischer, 1997. "The FOMC in 1996: "watchful waiting"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 7-23. [Downloadable!]
    6. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15. [Downloadable!]
    7. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    8. Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Working Papers 0322, Department of Economics, Vanderbilt University, revised Apr 2004. [Downloadable!]
      Other versions:
    9. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú. [Downloadable!]
    10. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO. [Downloadable!]
      Other versions:
    11. Toshiya Ishikawa, 2004. "Technology Diffusion and Business Cycle Asymmetry," DEGIT Conference Papers c009_016, DEGIT, Dynamics, Economic Growth, and International Trade. [Downloadable!]
    12. Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
      Other versions:
    13. Francis X. Diebold, 1997. "The Past, Present, and Future of Macroeconomic Forecasting," NBER Working Papers 6290, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Michael J. Dueker & Martin Sola, 2008. "Multivariate Markov switching with weighted regime determination: giving France more weight than Finland," Working Papers 2008-001, Federal Reserve Bank of St. Louis. [Downloadable!]
    15. Gary A. Wagner & Erick Elder, 2007. "How well are the states of the Eighth Federal Reserve District prepared for the next recession?," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 75-87. [Downloadable!]
    16. Mark W. French, 2005. "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series 2005-12, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    17. Michael J. Dueker & Stephen J. Spurr & Ada K. Jacox & David E. Kalist, 2005. "The practice boundaries of advanced practice nurses: an economic and legal analysis," Working Papers 2005-071, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    18. Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics. [Downloadable!]

  13. Kim, Chang-Jin & Kim, Myung-Jig, 1996. "Transient Fads and the Crash of '87," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 41-58, Jan.-Feb.. [Downloadable!] (restricted)

    Cited by:

    1. Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Christian Jochum, 2001. "Is the covariance of international stock market returns regime dependent?," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 247-268, September. [Downloadable!] (restricted)
    4. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]
    5. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    6. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society. [Downloadable!]

  14. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22. [Downloadable!] (restricted)

    Cited by:

    1. Stefan Gerlach & Matthew S. Yiu, 2004. "A Dynamic Factor Model for Current-Quarter Estimates of Economic Activity in Hong Kong," Working Papers 162004, Hong Kong Institute for Monetary Research. [Downloadable!]
    2. Guillaume Guerrero & Nicolas Million, 2004. "Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes," Cahiers de la Maison des Sciences Economiques v04048, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    3. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004. [Downloadable!]
    4. Konstantin Kholodilin, 2001. "Latent Leading and Coincident Factors Model with Markov-Switching Dynamics," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-13. [Downloadable!]
    5. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-44, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    6. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Timotheos Angelidis & Nikolaos Tessaromatis, 2007. "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers 0001, University of Peloponnese, Department of Economics. [Downloadable!]
    8. Michael Dueker & Andreas M. Fischer, 1995. "Identifying Austria's implicit monetary target: an alternative test of the "hard currency" policy," Working Papers 1995-005, Federal Reserve Bank of St. Louis. [Downloadable!]
    9. Frank Schorfheide, 2003. "Learning and monetary policy shifts," Working Paper 2003-23, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    10. Konstantin Kholodilin, 2002. "Predicting the Cyclical Phases of the Post-War U.S. Leading and Coincident Indicators," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-15. [Downloadable!]
    11. Michael Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    12. Michael J. Dueker, 1993. "Indicators of monetary policy: the view from implicit feedback rules," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-40. [Downloadable!]
    13. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    14. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover from the Asian Crisis?," IMF Working Papers 03/48, International Monetary Fund. [Downloadable!]
    15. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    16. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    17. Andrew J. Filardo, 1998. "Choosing information variables for transition probabilities in a time-varying transition probability Markov switching model," Research Working Paper 98-09, Federal Reserve Bank of Kansas City. [Downloadable!]
    18. Guillaume Guerrero & Nicolas Million, 2004. "The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model," Computing in Economics and Finance 2004 133, Society for Computational Economics. [Downloadable!]
      Other versions:
    19. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics. [Downloadable!]
    20. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005 252, Society for Computational Economics. [Downloadable!]
    21. Matteo Pelagatti, 2003. "Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application," Working Papers 20051101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Nov 2005. [Downloadable!]
    22. Vasyl Golosnoy & Jens Hogrefe, 2009. "Sequential Methodology for Signaling Business Cycle Turning Points," Kiel Working Papers 1528, Kiel Institute for the World Economy. [Downloadable!]
    23. Randolph & Xiao Qin & Tan Gee Kwang, 2004. "Unit Root Tests with Markov-Switching," Econometric Society 2004 Australasian Meetings 145, Econometric Society. [Downloadable!]
      Other versions:
    24. Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009. [Downloadable!]
      Other versions:
    25. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15. [Downloadable!]
    26. Konstantin A. Kholodilin, 2006. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Discussion Papers of DIW Berlin 554, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    27. B. Siliverstovs & D.J. Van Dijk, 2003. "Forecasting industrial production with linear, nonlinear and structural change models," Econometric Institute Report 321, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    28. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer, vol. 54(4), pages 445-462, December. [Downloadable!] (restricted)
    29. Spyros Andreopoulos, 2006. "The real interest rate, the real oil price, and US unemployment revisited," Bristol Economics Discussion Papers 06/592, Department of Economics, University of Bristol, UK. [Downloadable!]
    30. Arias, Guillaume & Erlandsson, Ulf, 2004. "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers 2004:11, Lund University, Department of Economics. [Downloadable!]
    31. Florian Höppner & Katrin Wesche, 2000. "Non-linear Effects of Fiscal Policy in Germany: A Markov-Switching Approach," Bonn Econ Discussion Papers bgse9_2000, University of Bonn, Germany. [Downloadable!]
    32. Konstantin A., KHOLODILIN & Wension Vincent, YAO, 2004. "Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    33. Toni Gravelle & James C. Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 691-705, June. [Downloadable!] (restricted)
    34. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics. [Downloadable!]
    35. Katrin Wesche, 2003. "Monetary Policy in Europe: Evidence from Time-Varying Taylor Rules," Bonn Econ Discussion Papers bgse21_2003, University of Bonn, Germany. [Downloadable!]
    36. Frömmel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2003. "Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-289, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    37. Michael J. Dueker, 1993. "Can nominal GDP targeting rules stabilize the economy?," Review, Federal Reserve Bank of St. Louis, issue May, pages 15-29. [Downloadable!]
    38. Michael Dueker & Andreas M. Fischer, 1995. "Inflation targeting in a small open economy: empirical results for Switzerland," Working Papers 1995-014, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    39. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods and Applications, Springer, vol. 18(1), pages 87-107, March. [Downloadable!] (restricted)
    40. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
      Other versions:
    41. Simon M. Potter, 1999. "Fluctuations in confidence and asymmetric business cycles," Staff Reports 66, Federal Reserve Bank of New York. [Downloadable!]
    42. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2005. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    43. Rómulo Chumacero & Jorge Quiroz, 1996. "La Tasa Natural de Crecimiento de la Economía Chilena: 1985-1996," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(100), pages 453-472. [Downloadable!]
    44. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009. [Downloadable!]
    45. Humala, Alberto & Rodríguez, Gabriel, 2009. "Estimation of a Time Varying Natural Interest Rate for Peru," Working Papers 2009-009, Banco Central de Reserva del Perú. [Downloadable!]
    46. Carol Alexander & Anca Dimitriu, 2005. "Indexing, cointegration and equity market regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 213-231. [Downloadable!]
    47. Elcyon Caiado Rocha Lima, 2003. "The NAIRU, Unemployment and the Rate of Inflation in Brazil," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]
    48. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," Research Paper ERS-2004-027-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    49. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007. "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche 0741, CIRPEE. [Downloadable!]
    50. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2005. "Markov-Switching Model Selection Using Kullback-Leibler Divergence," Working Papers 11976, University of California, Davis, Department of Agricultural and Resource Economics. [Downloadable!]
      Other versions:
    51. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    52. Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    53. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington. [Downloadable!]
    54. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA. [Downloadable!]
    55. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute. [Downloadable!]
    56. Konstantin A. KHOLODILIN, 2002. "Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    57. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    58. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    59. Mauricio Drelichman, 2004. "The Curse of Moctezuma: American Silver and the Dutch Disease, 1501-1650," Economic History 0404001, EconWPA. [Downloadable!]
    60. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
      Other versions:
    61. Silvestro Di Sanzo, 2006. "Output fluctuations persistence: Do cyclical shocks matter?," Working Papers 2006_21, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    62. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    63. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    64. Ming-Yuan Leon Li & Hsiou-Wei William Lin & Rau Hsiu-hua, 2005. "The performance of the Markov-switching model on business cycle identification revisited," Applied Economics Letters, Taylor and Francis Journals, vol. 12(8), pages 513-520, June. [Downloadable!] (restricted)
    65. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    66. Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    67. Eduardo Martínez Chombo, 2005. "Decomposing electricity prices with jumps," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 20(1), pages 27-52. [Downloadable!]
    68. Erlandsson, Ulf, 2005. "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers 2005:25, Lund University, Department of Economics. [Downloadable!]
    69. Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-333, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    70. Duncan Fong & Wayne DeSarbo, 2007. "A Bayesian methodology for simultaneously detecting and estimating regime change points and variable selection in multiple regression models for marketing research," Quantitative Marketing and Economics, Springer, vol. 5(4), pages 427-453, December. [Downloadable!] (restricted)
    71. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    72. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    73. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    74. Paulo Picchetti & Celso Toledo, 2002. "Estimating and Interpreting a Common Stochastic Component for the Brazilian Industrial Production Index," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 56(1), April. [Downloadable!]
    75. Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17/09, Monash University, Department of Economics. [Downloadable!]
    76. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series wp2006n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    77. Allan Timmermann, 2001. "Structural Breaks, Incomplete Information and Stock Prices," University of California at San Diego, Economics Working Paper Series 2001-02, Department of Economics, UC San Diego. [Downloadable!]
    78. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
      Other versions:
    79. Ai Deng & Pierre Perron, 2005. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series WP2005-030, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    80. Marcelle Chauvet & Jeremy M. Piger, 2005. "A comparison of the real-time performance of business cycle dating methods," Working Papers 2005-021, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    81. A. Warne, . "Causality in Nonlinear Models," Sonderforschungsbereich 373 1996-26, Humboldt Universitaet Berlin.
    82. Jeremy J. Nalewaik, 2006. "Estimating probabilities of recession in real time using GDP and GDI," Finance and Economics Discussion Series 2007-07, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    83. Michael Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis. [Downloadable!]
    84. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    85. Robert A Buckle & David Haugh & Peter Thomson, 2002. "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series 02/08, New Zealand Treasury. [Downloadable!]
    86. Konstantin A. KHOLODILIN, 2001. "Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001020, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    87. AKA, Bédia F., 2009. "Business Cycle And Sectoral Fluctuations: A Nonlinear Model For Côte D’Ivoire," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 9(1), pages 111-126. [Downloadable!]
    88. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined sim," Economic Growth centre Working Paper Series 0901, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    89. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]
    90. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    91. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Documents de Travail 191, Banque de France. [Downloadable!]
      Other versions:
    92. Marcelle Chauvet & Chinhui Juhn & Simon Potter, 2001. "Markov switching in disaggregate unemployment rates," Staff Reports 132, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    93. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    94. Sylvia Frühwirth-Schnatter, 2001. "Fully Bayesian Analysis of Switching Gaussian State Space Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 31-49, March. [Downloadable!] (restricted)
    95. Konstantin A. Kholodilin, 2005. "Forecasting the Turns of German Business Cycle: Dynamic Bi-factor Model with Markov Switching," Discussion Papers of DIW Berlin 494, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    96. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics. [Downloadable!]
    97. James Morley & Jeremy M. Piger, 2005. "A steady-state approach to trend/cycle decomposition of regime-switching processes," Working Papers 2004-006, Federal Reserve Bank of St. Louis. [Downloadable!]

  15. Kim, Chang-Jin, 1993. "Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 483-92, August. [Downloadable!] (restricted)

    Cited by:

    1. Funda Telatar & Erdinc Telatar, 2003. "The relationship between inflation and different sources of inflation uncertainty in Turkey," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 431-435, May. [Downloadable!] (restricted)
    2. Michael Dueker & Andreas M. Fischer, 1995. "Identifying Austria's implicit monetary target: an alternative test of the "hard currency" policy," Working Papers 1995-005, Federal Reserve Bank of St. Louis. [Downloadable!]
    3. Silvia Sgherri & Tamim Bayoumi, 2004. "Monetary Magic? How the Fed Improved the Supply Side of the Economy," Econometric Society 2004 Far Eastern Meetings 422, Econometric Society. [Downloadable!]
      Other versions:
    4. Silvia Sgherri & Tamim Bayoumi, 2004. "Monetary Magic? How the Fed Improved the Flexibility of the U.S. Economy," IMF Working Papers 04/24, International Monetary Fund. [Downloadable!]
    5. Michael Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis. [Downloadable!]

  16. Kim, Chang-Jin, 1993. "Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 341-49, July.

    Cited by:

    1. Chung-Han Kim, 2000. "Balassa-Samuelson Theory And Predictability Of The Us/Uk Real Exchange Rate," International Economic Journal, Korean International Economic Association, vol. 14(3), pages 101-121, October. [Downloadable!] (restricted)
    2. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú. [Downloadable!]
    3. Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Sharon Kozicki & Barak Hoffman, 1999. "Implications of rounding and rebasing for empirical analysis using consumer price inflation," Research Working Paper 99-08, Federal Reserve Bank of Kansas City. [Downloadable!]
    5. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
      Other versions:

  17. Kim, Chang-Jin & Nelson, Charles R, 1989. "The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 433-40, October.

    Cited by:

    1. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004. "Structural Change and Forecasting Long-Run Energy Prices," Working Papers 04-5, Bank of Canada. [Downloadable!]
    2. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
    3. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ADRES, issue 24, pages 01, Octobre-D. [Downloadable!]
    4. Lynda Khalaf & Maral Kichian, 2003. "Testing the Stability of the Canadian Phillips Curve Using Exact Methods," Working Papers 03-7, Bank of Canada. [Downloadable!]

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