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Citations for "Business-Cycle Analysis with a Markov-Switching Model"

by Goodwin, Thomas H

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  1. Chen, Shyh-Wei, 2006. "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.
  2. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  3. Breitung, Jörg & Eickmeier, Sandra, 2014. "Analyzing business and financial cycles using multi-level factor models," Discussion Papers 11/2014, Deutsche Bundesbank, Research Centre.
  4. Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003. "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 925-955, December.
  5. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
  6. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
  7. Pape N'Diaye & Pierre-Yves Hénin, 2001. "L'effet des politiques budgétaires sur l'activité : une fonction des conditions conjoncturelles et du régime budgétaire ?," Économie et Prévision, Programme National Persée, vol. 147(1), pages 73-88.
  8. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
  9. Al-Anaswah, Nael & Wilfling, Bernd, 2011. "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1073-1086, May.
  10. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  11. Peter M. Summers & Penelope A. Smith, 2005. "How well do Markov switching models describe actual business cycles? The case of synchronization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 253-274.
  12. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
  13. Kandemir Kocaaslan, Ozge, 2013. "The causal link between energy and output growth: Evidence from Markov switching Granger causality," Energy Policy, Elsevier, vol. 63(C), pages 1196-1206.
  14. Daniel Cohen & Sébastien Villemot, 2012. "The sovereign default puzzle: Modelling issues and lessons for Europe," PSE Working Papers halshs-00692038, HAL.
  15. Sebastian Edwards & Raul Susmel, 2000. "Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s," NBER Working Papers 7813, National Bureau of Economic Research, Inc.
  16. Alison Tarditi, 1996. "Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations," RBA Research Discussion Papers rdp9608, Reserve Bank of Australia.
  17. Sebastian Edwards & Raúl Susmel, 1999. "Contagion and Volatility in the 1990s," CEMA Working Papers: Serie Documentos de Trabajo. 153, Universidad del CEMA.
  18. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach The views presented in the paper are not necessarily shared by the European Central Bank," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470.
  19. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economics Papers from University Paris Dauphine 123456789/6970, Paris Dauphine University.
  20. repec:dgr:uvatin:2099024 is not listed on IDEAS
  21. Penelope A. Smith & Peter M. Summers, 2004. "Identification and normalization in Markov switching models of "business cycles"," Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City.
  22. Sebastian Edwards & Raul Susmel, 2001. "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers 8506, National Bureau of Economic Research, Inc.
  23. Paap, R. & van Dijk, H.K., 2002. "Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income," Econometric Institute Research Papers EI 2002-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  24. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253.
  25. Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012. "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, vol. 29(4), pages 1161-1169.
  26. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 225-236, March.
  27. Bazán, Walter, 2011. "No-linealidades y asimetrías en el crédito peruano," Working Papers 2011-015, Banco Central de Reserva del Perú.
  28. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  29. Imrohoroglu, Selahattin, 1995. "A Markov switching model for the Hungarian price stabilization plan of 1924," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 347-355.
  30. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra.
  31. Harding, Don, 2002. "The Australian Business Cycle: A New View," MPRA Paper 3698, University Library of Munich, Germany.
  32. repec:hal:journl:halshs-00658540 is not listed on IDEAS
  33. Jane Haltmaier, 2008. "Predicting cycles in economic activity," International Finance Discussion Papers 926, Board of Governors of the Federal Reserve System (U.S.).
  34. Maciejowska, Katarzyna, 2013. "Assessing the number of components in a normal mixture: an alternative approach," MPRA Paper 50303, University Library of Munich, Germany.
  35. repec:hal:wpaper:halshs-00692038 is not listed on IDEAS
  36. Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
  37. Shively, Philip A., 2004. "The size and dynamic effect of aggregate-demand and aggregate-supply disturbances in expansionary and contractionary regimes," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 83-99, March.
  38. Chen, Shyh-Wei, 2007. "Measuring business cycle turning points in Japan with the Markov Switching Panel model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 263-270.
  39. Richard Paap & Herman K. van Dijk, 1999. "Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to US Consumption and Income," Tinbergen Institute Discussion Papers 99-024/4, Tinbergen Institute.
  40. Javier Gómez Biscarri, 2002. "Dating Recessions from Industrial Production Indexes: An Analysis for Europe and the US," Faculty Working Papers 05/02, School of Economics and Business Administration, University of Navarra.
  41. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  42. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.