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Business cycle duration dependence: a parametric approach

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Cited by:

  1. James Payne & Thomas Zuehlke, 2006. "Duration dependence in real estate investment trusts," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 413-423.
  2. Congressional Budget Office, 2022. "A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05," Working Papers 57582, Congressional Budget Office.
  3. Vitor Castro & Megumi Kubota, 2013. "Duration dependence and change-points in the likelihood of credit booms ending," GEMF Working Papers 2013-17, GEMF, Faculty of Economics, University of Coimbra.
  4. Gabe de Bondt & Philip Vermeulen, 2021. "Business cycle duration dependence and foreign recessions," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(1), pages 1-19, February.
  5. Jensen, Mark J. & Liu, Ming, 2006. "Do long swings in the business cycle lead to strong persistence in output?," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 597-611, April.
  6. Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M. M, 2021. "The expected time to cross a threshold and its determinants: a simple and flexible framework," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
  7. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Staff Working Papers 07-2, Bank of Canada.
  8. Fernando H.P.S Mendes & João Frois Caldeira & Guilherme Valle Moura, 2019. "Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle," Economics Bulletin, AccessEcon, vol. 39(1), pages 676-685.
  9. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
  10. Ángel Guillén & Gabriel Rodríguez, 2014. "Trend-cycle decomposition for Peruvian GDP: application of an alternative method," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 23(1), pages 1-44, December.
  11. Philip M. Bodman, 1998. "Asymmetry and Duration Dependence in Australian GDP and Unemployment," The Economic Record, The Economic Society of Australia, vol. 74(227), pages 399-411, December.
  12. Agnello, Luca & Castro, Vitor & Sousa, Ricardo M., 2013. "What determines the duration of a fiscal consolidation program?," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 113-134.
  13. Nuri Yildirim, 2015. "A Survival Analysis of the Contraction Phases of Business Cycles in Industrial Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(5), pages 557-579, December.
  14. Thomas Grjebine & Fabien Tripier, 2016. "Finance and Growth: From the Business Cycle to the Long Run," Working Papers 2016-28, CEPII research center.
  15. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  16. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2018. "Financial Markets' Shutdown And Reaccess," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 562-571, January.
  17. Vítor Castro & Rodrigo Martins, 2021. "What drives the duration of credit booms?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1531-1549, January.
  18. Alqaralleh, Huthaifa & Canepa, Alessandra, 2020. "Housing market cycles in large urban areas," Economic Modelling, Elsevier, vol. 92(C), pages 257-267.
  19. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(3), pages 311-340, September.
  20. Vítor Castro & Rodrigo Martins, 2019. "Political and Institutional Determinants of Credit Booms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 1144-1178, October.
  21. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 125-147.
  22. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
  23. Cláudio Tadeu Cristino & Piotr Żebrowski & Matthias Wildemeersch, 2020. "Assessing the time intervals between economic recessions," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-20, May.
  24. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2012. "Are there change-points in the likelihood of a fiscal consolidation ending?," NIPE Working Papers 18/2012, NIPE - Universidade do Minho.
  25. Larry W. Taylor, 2007. "Nonparametric Estimation of Duration Dependence in Militarized Interstate Disputes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(4), pages 423-441.
  26. Anders Rygh Swensen, 1997. "Change in Regime and Markov Models," Discussion Papers 204, Statistics Norway, Research Department.
  27. Castro, Vítor, 2010. "The duration of economic expansions and recessions: More than duration dependence," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
  28. Klein, Michael W, 1996. "Timing Is All: Elections and the Duration of United States Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 84-101, February.
  29. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
  30. Stephen Broadberry & Jagjit S. Chadha & Jason Lennard & Ryland Thomas, 2023. "Dating business cycles in the United Kingdom, 1700–2010," Economic History Review, Economic History Society, vol. 76(4), pages 1141-1162, November.
  31. Abderrezak, Ali, 1998. "On the Duration of Growth Cycles: An International Study," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 343-355.
  32. Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati & Antonio Palestrini, 2004. "International evidence on business cycle magnitude dependence," Papers cond-mat/0401495, arXiv.org.
  33. João Cruz & João Nicolau & Paulo M. M. Rodrigues, 2021. "Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 333-352, September.
  34. Vítor Castro & Rodrigo Martins, 2018. "Economic and political drivers of the duration of credit booms," NIPE Working Papers 15/2018, NIPE - Universidade do Minho.
  35. Brookman, Jeff & Thistle, Paul D., 2009. "CEO tenure, the risk of termination and firm value," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 331-344, June.
  36. Hui, Eddie Chi-Man & Wang, Ziyou, 2015. "Can we predict the property cycle? A study of securitized property market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 72-87.
  37. Vitor Castro, 2013. "The duration of business cycle expansions and contractions: are there change-points in duration dependence?," Empirical Economics, Springer, vol. 44(2), pages 511-544, April.
  38. Matteo M. Pelagatti, 2005. "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications," Econometrics 0503008, University Library of Munich, Germany.
  39. du Plessis, S. A., 2004. "Stretching the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 685-701, July.
  40. Castroa, Vitor & Kubota, Megumi, 2013. "Duration dependence and change-points in the likelihood of credit booms ending," Policy Research Working Paper Series 6475, The World Bank.
  41. Yvette S. Harman & Thomas W. Zuehlke, 2007. "Nonlinear duration dependence in stock market cycles," Review of Financial Economics, John Wiley & Sons, vol. 16(4), pages 350-362.
  42. Corrado DI GUILMI, 2008. "Financial Determinants of Firms Profitability: A Hazard Function Investigation," Working Papers 315, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  43. Vitor Castro, 2015. "The Portuguese business cycle: chronology and duration dependence," Empirical Economics, Springer, vol. 49(1), pages 325-342, August.
  44. Firouz Fallahi & Gabriel Rodríguez, 2007. "Using Markov-Switching Models to Identify the Link between Unemployment and Criminality," Working Papers 0701E, University of Ottawa, Department of Economics.
  45. Abderrezak, Ali, 1997. "Consumer expectations and cyclical durations," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 843-857.
  46. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2018. "The Legacy and the Tyranny of Time: Exit and Re‐Entry of Sovereigns to International Capital Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1969-1994, December.
  47. Agnello, Luca & Castro, Vítor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2020. "Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases," Energy Economics, Elsevier, vol. 90(C).
  48. Agnello, Luca & Castro, Vitor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2017. "Spillovers from the oil sector to the housing market cycle," Energy Economics, Elsevier, vol. 61(C), pages 209-220.
  49. McKay, Alisdair & Reis, Ricardo, 2008. "The brevity and violence of contractions and expansions," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 738-751, May.
  50. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
  51. Lipsey Robert E. & Ramstetter Eric D. & Blomström Mangus & Eckes Alfred E. & Fifield S.G.M. & Power D. M. & Sinclair C. D. & Jaiswal-Dale Ameeta & Power Sally J. & Abderrezak Ali, 2000. "Global Economy Quarterly, Issue 4," Global Economy Journal, De Gruyter, vol. 1(4), pages 1-109, December.
  52. 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.
  53. Idrovo Aguirre, Byron, 2007. "Los Ciclos del Mercado Inmobiliario y su Relación con los Ciclos de la Economía [Housing Market Fluctuations and the Economic Cycles]," MPRA Paper 19365, University Library of Munich, Germany, revised 24 Sep 2007.
  54. Vitor Castro, 2013. "The Portuguese stock market cycle: Chronology and duration dependence," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(1), pages 1-23.
  55. Bracke, Philippe, 2013. "How long do housing cycles last? A duration analysis for 19 OECD countries," Journal of Housing Economics, Elsevier, vol. 22(3), pages 213-230.
  56. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2015. "Booms, Busts, and Normal Times in the Housing Market," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 25-45, January.
  57. Iiboshi, Hirokuni, 2007. "Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model," Japan and the World Economy, Elsevier, vol. 19(1), pages 86-111, January.
  58. Andrew J. Filardo, 1997. "Cyclical implications of the declining manufacturing employment share," Economic Review, Federal Reserve Bank of Kansas City, vol. 82(Q II), pages 63-87.
  59. Pérez-Quirós, Gabriel & Gadea Rivas, Maria Dolores & Laeven, Luc, 2020. "Growth-and-Risk Trade-off," CEPR Discussion Papers 14492, C.E.P.R. Discussion Papers.
  60. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2023. "Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?," Empirical Economics, Springer, vol. 64(2), pages 539-565, February.
  61. Terence Tai-Leung Chong & Zimu Li & Haiqiang Chen & Melvin Hinich, 2010. "An investigation of duration dependence in the American stock market cycle," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(8), pages 1407-1416.
  62. de Bruijn, L.P. & Franses, Ph.H.B.F., 2015. "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers EI2015-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  63. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2021. "On the duration of sovereign ratings cycle phases," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 512-526.
  64. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
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