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Michael J. Dueker

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Personal Details

First Name: Michael
Middle Name: J.
Last Name: Dueker
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RePEc Short-ID: pdu108

Homepage: http://sites.google.com/site/michaeldueker/
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Affiliation

This author is deceased (Date: 29 Jan 2014)

Works

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Working papers

  1. Michael J. Dueker & Michael T. Owyang & Martin Sola, 2010. "A time-varying threshold STAR model of unemployment and the natural rate," Working Papers 2010-029, Federal Reserve Bank of St. Louis.
  2. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010. "State-Dependent Threshold STAR Models," UFAE and IAE Working Papers 818.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  3. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella.
  4. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
  5. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
  6. 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.
  7. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2007. "Monetary policy and stock market booms and busts in the 20th century," Working Papers 2007-020, Federal Reserve Bank of St. Louis.
  8. Michael J. Dueker, 2007. "Comment on Harding and Pagan 'The econometric analysis of some constructed binary time series'," Working Papers 2007-054, Federal Reserve Bank of St. Louis.
  9. Anatoliy Belaygorod & Michael J. Dueker, 2007. "The price puzzle and indeterminacy in an estimated DSGE model," Working Papers 2006-025, Federal Reserve Bank of St. Louis.
  10. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
  11. Michael Dueker & Charles Nelson, 2006. "Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index," Working Papers UWEC-2006-13-P, University of Washington, Department of Economics.
  12. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis.
  13. Michael Dueker & Christopher J. Neely, 2006. "Can Markov switching models predict excess foreign exchange returns?," Working Papers 2001-021, Federal Reserve Bank of St. Louis.
  14. Michael Dueker, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Working Papers 2005-057, Federal Reserve Bank of St. Louis.
  15. Michael J. Dueker & Katrin Wesche, 2005. "Forecasting macro variables with a Qual VAR business cycle turning point index," Working Papers 2001-019, Federal Reserve Bank of St. Louis.
  16. 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.
  17. Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod, 2005. "Structural Breaks in Estimated DSGE Models with Indeterminacy," Computing in Economics and Finance 2005 357, Society for Computational Economics.
  18. 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.
  19. Michael J. Dueker & Andreas M. Fischer, 2003. "Fixing Swiss potholes: the importance of improvements," Working Papers 2001-025, Federal Reserve Bank of St. Louis.
  20. Fischer, Andreas & Michael J Dueker & Robert D Dittmar, 2003. "Stochastic Capital Depreciation and the Comovement of Hours and Productivity," Royal Economic Society Annual Conference 2003 80, Royal Economic Society.
  21. Michael Dueker & Andreas Fischer, 2003. "Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements," Working Papers 03.01, Swiss National Bank, Study Center Gerzensee.
  22. Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.
  23. Michael J. Dueker, 2003. "Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions," Working Papers 2001-012, Federal Reserve Bank of St. Louis.
  24. Michael Dueker & Thomas W. Miller, Jr., 2002. "Directly measuring early exercise premiums using American and European S&P 500 index options," Working Papers 2002-016, Federal Reserve Bank of St. Louis.
  25. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2001. "Aggregate price shocks and financial stability: the United Kingdom 1796-1999," Working Papers 2001-018, Federal Reserve Bank of St. Louis.
  26. Dueker, Michael & Fischer, Andreas M, 2001. "The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets," CEPR Discussion Papers 2829, C.E.P.R. Discussion Papers.
  27. Michael Dueker & Apostolos Serletis, 2000. "Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks," Working Papers 2000-016, Federal Reserve Bank of St. Louis.
  28. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2000. "Aggregate Price Shocks and Financial Instability: An Historical Analysis," NBER Historical Working Papers 0125, National Bureau of Economic Research, Inc.
  29. Dueker, Michael & Fischer, Andreas M, 2000. "Austria's Hard-Currency Policy: The Mechanics of Successful Exchange-Rate Peg," CEPR Discussion Papers 2478, C.E.P.R. Discussion Papers.
  30. M. Dueker & K. Wesche, 1999. "European Business Cycles: New Indices and Analysis of their Synchronicity," Discussion Paper Serie B 448, University of Bonn, Germany.
  31. Michael Dueker, 1998. "Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate," Working Papers 1998-011, Federal Reserve Bank of St. Louis.
  32. Michael Dueker & Gyuhan Kim, 1998. "A monetary policy feedback rule in Korea's fast-growing economy," Working Papers 1998-014, Federal Reserve Bank of St. Louis.
  33. Michael Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis.
  34. Michael J. Dueker & Daniel L. Thornton, 1997. "Do bank loan rates exhibit a countercyclical mark-up?," Working Papers 1997-004, Federal Reserve Bank of St. Louis.
  35. Michael Dueker & Thomas W. Miller, Jr., 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
  36. 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.
  37. Michael Dueker & Patrick K. Asea, 1995. "Non-monotonic long memory dynamics in black-market premia," Working Papers 1995-003, Federal Reserve Bank of St. Louis.
  38. 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.
  39. Michael Dueker, 1995. "Tariffs and asset market structure: some basic comparative dynamics," Working Papers 1995-009, Federal Reserve Bank of St. Louis.
  40. Michael Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis.
  41. Michael Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis.
  42. Alison Butler & Michael Dueker, 1994. "Product cycles, innovation and relative wages in European countries," Working Papers 1994-022, Federal Reserve Bank of St. Louis.
  43. Michael Dueker & Daniel L. Thornton, 1994. "Asymmetry in the prime rate and firms' preference for internal finance," Working Papers 1994-017, Federal Reserve Bank of St. Louis.
  44. Dueker, M. & Startz, R., 1993. "Fractional Integration and Cointegration," Discussion Papers in Economics at the University of Washington 93-08, Department of Economics at the University of Washington.

Articles

  1. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
  2. Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J., 2012. "Modeling dependence dynamics through copulas with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 346-356.
  3. Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011. "Contemporaneous-Threshold Smooth Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
  4. Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
  5. Michael Dueker & Katrin Assenmacher-Wesche, 2010. "Forecasting macro variables with a Qual VAR business cycle turning point index," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
  6. Belaygorod, Anatoliy & Dueker, Michael, 2009. "Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 624-648, March.
  7. Dueker, Michael & Neely, Christopher J., 2007. "Can Markov switching models predict excess foreign exchange returns?," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 279-296, February.
  8. Dueker Michael & Fischer Andreas & Dittmar Robert, 2007. "Stochastic Capital Depreciation and the Co-movement of Hours and Productivity," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-24, January.
  9. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  10. 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.
  11. Dueker, Michael, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Economics Letters, Elsevier, vol. 93(1), pages 58-62, October.
  12. Michael J. Dueker & Andreas M. Fischer, 2006. "Do inflation targeters outperform non-targeters?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 431-450.
  13. Michael Dueker, 2006. "The price puzzle: an update and a lesson," National Economic Trends, Federal Reserve Bank of St. Louis, issue Oct.
  14. Dueker, Michael & Nelson, Charles R., 2006. "Business-Cycle Filtering Of Macroeconomic Data Via A Latent Business-Cycle Index," Macroeconomic Dynamics, Cambridge University Press, vol. 10(05), pages 573-594, November.
  15. Michael J. Dueker & Christopher J. Martinek, 2006. "Political economy of state homeland security grants," National Economic Trends, Federal Reserve Bank of St. Louis, issue Dec.
  16. Anatoliy Belaygorod & Michael J. Dueker, 2005. "Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 719-34.
  17. Michael Dueker & Ada Jacox & David Kalist & Stephen Spurr, 2005. "The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis," Journal of Regulatory Economics, Springer, vol. 27(3), pages 309-330, 01.
  18. Michael Dueker, 2005. "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 96-104, January.
  19. Michael J. Dueker & Andreas M. Fischer, 2005. "Open mouth operations: a Swiss case study," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jan.
  20. Michael J. Dueker & Robert H. Rasche, 2004. "Discrete policy changes and empirical models of the federal funds rate," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 61-72.
  21. Dueker, Michael J. & Fischer, Andreas M., 2003. "Fixing Swiss potholes: The importance and cyclical nature of improvements," Economics Letters, Elsevier, vol. 79(3), pages 409-415, June.
  22. Bordo, Michael D. & Dueker, Michael J. & Wheelock, David C., 2003. "Aggregate price shocks and financial stability: the United Kingdom 1796-1999," Explorations in Economic History, Elsevier, vol. 40(2), pages 143-169, April.
  23. Michael Dueker & Katrin Wesche, 2003. "European Business Cycles: New Indices and Their Synchronicity," Economic Inquiry, Western Economic Association International, vol. 41(1), pages 116-131, January.
  24. Michael Dueker, 2003. "Why predict past FOMC actions?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jun.
  25. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2002. "Aggregate Price Shocks and Financial Instability: A Historical Analysis," Economic Inquiry, Western Economic Association International, vol. 40(4), pages 521-538, October.
  26. Michael J. Dueker, 2002. "Regime-dependent recession forecasts and the 2001 recession," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 29-36.
  27. Michael J. Dueker, 2002. "Argentina Agonistes," International Economic Trends, Federal Reserve Bank of St. Louis, issue Feb.
  28. Michael J. Dueker, 2002. "The monetary policy innovation paradox in VARs: a "discrete" explanation," Review, Federal Reserve Bank of St. Louis, issue Mar., pages 43-50.
  29. Michael Dueker, 2001. "The preemptive Fed," Monetary Trends, Federal Reserve Bank of St. Louis, issue Feb.
  30. Michael Dueker & Andreas M. Fischer, 2001. "The mechanics of a successful exchange rate peg: lessons for emerging markets," Review, Federal Reserve Bank of St. Louis, issue May, pages 47-56.
  31. Michael J. Dueker, 2000. "Are prime rate changes asymmetric?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 33-40.
  32. Michael Dueker, 2000. "FOMC decisions and bond market uncertainty," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jan.
  33. Michael Dueker, 2000. "Spring of disconnect across stock markets?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Sep.
  34. Michael Dueker, 1999. "Measuring monetary policy inertia in target Fed funds rate changes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 3-10.
  35. Dueker, Michael, 1999. "Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 466-72, October.
  36. Michael J. Dueker, 1999. "A barometer of financial market uncertainty," Monetary Trends, Federal Reserve Bank of St. Louis, issue May.
  37. Butler, Alison & Dueker, Michael, 1999. "Does foreign innovation affect domestic wage inequality?," Journal of International Economics, Elsevier, vol. 47(1), pages 61-89, February.
  38. Dueker, Michael & Kim, Gyuhan, 1999. "A monetary policy feedback rule in Korea's fast-growing economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 19-31, January.
  39. Michael J. Dueker & Andreas M. Fischer, 1998. "A guide to nominal feedback rules and their use for monetary policy," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 55-63.
  40. Michael J. Dueker, 1998. "Inverted yield curves and recessions," Monetary Trends, Federal Reserve Bank of St. Louis, issue May.
  41. Michael Dueker & Richard Startz, 1998. "Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 420-426, August.
  42. Michael Dueker, 1998. "Risk premiums among corporate bonds," Monetary Trends, Federal Reserve Bank of St. Louis, issue Nov.
  43. Michael Dueker, 1997. "Strengthening the case for the yield curve as a predictor of U.S. recessions," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 41-51.
  44. Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
  45. 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.
  46. Michael J. Dueker & Apostolos Serletis, 1996. "The sensitivity of empirical studies to alternative measures of the monetary base and reserves," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 51-69.
  47. Michael S. Dueker & Andreas M. Fischer, 1996. "Are federal funds rate changes consistent with price stability? Results from an indicator model," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 45-51.
  48. Dueker, Michael & Fischer, Andreas M., 1996. "Inflation targeting in a small open economy: Empirical results for Switzerland," Journal of Monetary Economics, Elsevier, vol. 37(1), pages 89-103, February.
  49. Michael J. Dueker, 1995. "Narrow vs. broad measures of money as intermediate targets: some forecast results," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 41-51.
  50. Michael J. Dueker, 1993. "Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 37-48.
  51. Michael J. Dueker, 1993. "Can nominal GDP targeting rules stabilize the economy?," Review, Federal Reserve Bank of St. Louis, issue May, pages 15-29.
  52. 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.
  53. Michael J. Dueker, 1992. "The response of market interest rates to discount rate changes," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 78-91.

NEP Fields

32 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (6) 2001-11-21 2006-05-27 2007-06-23 2007-06-23 2008-05-17 2008-05-31. Author is listed
  2. NEP-DCM: Discrete Choice Models (1) 2005-10-04
  3. NEP-DGE: Dynamic General Equilibrium (6) 2002-06-13 2002-12-09 2003-03-14 2003-06-16 2005-10-04 2006-05-27. Author is listed
  4. NEP-ECM: Econometrics (12) 2003-10-28 2004-10-30 2004-10-30 2005-05-23 2005-10-04 2006-05-27 2007-06-23 2008-01-26 2009-09-26 2009-09-26 2010-05-02 2010-05-02. Author is listed
  5. NEP-EEC: European Economics (1) 2001-11-21
  6. NEP-ETS: Econometric Time Series (12) 2002-12-09 2004-08-09 2004-08-09 2004-10-30 2005-05-23 2005-10-04 2007-06-23 2009-09-26 2009-09-26 2010-05-02 2010-05-02 2010-10-16. Author is listed
  7. NEP-FIN: Finance (1) 2004-08-09
  8. NEP-FMK: Financial Markets (1) 2002-11-04
  9. NEP-FOR: Forecasting (1) 2009-09-26
  10. NEP-HIS: Business, Economic & Financial History (5) 2000-05-16 2000-05-16 2007-06-23 2008-05-17 2008-05-31. Author is listed
  11. NEP-IFN: International Finance (2) 2001-05-02 2004-08-09
  12. NEP-LAB: Labour Economics (1) 2010-10-16
  13. NEP-MAC: Macroeconomics (10) 2001-10-29 2003-03-14 2005-10-04 2006-05-27 2007-06-23 2007-06-23 2008-01-05 2008-01-26 2008-05-17 2008-05-31. Author is listed
  14. NEP-MON: Monetary Economics (5) 2000-05-16 2006-05-27 2007-06-23 2008-05-17 2008-05-31. Author is listed
  15. NEP-URE: Urban & Real Estate Economics (1) 2003-03-14

Statistics

This author is among the top 5% authors according to these criteria:
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