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Stylized facts and regime changes: Are prices procyclical?

Citations

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Cited by:

  1. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  2. Saverio Simonelli & Haroon Mumtaz & Paolo Surico, 2009. "A Historical Perspective on International Co-movements: 1821-2007," 2009 Meeting Papers 523, Society for Economic Dynamics.
  3. Uhlig, H.F.H.V.S. & Ravn, M., 1997. "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper 1997-50, Tilburg University, Center for Economic Research.
  4. Delfina Ricordi & Martín Sola & Fabio Spagnolo & Nicola Spagnolo, 2025. "Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison," Department of Economics Working Papers 2025_03, Universidad Torcuato Di Tella.
  5. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
  6. Haroon Mumtaz & Saverio Simonelli & Paolo Surico, 2011. "International Comovements, Business Cycle and Inflation: a Historical Perspective," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 176-198, January.
  7. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
  8. den Haan, Wouter J. & Sumner, Steven W., 2004. "The comovement between real activity and prices in the G7," European Economic Review, Elsevier, vol. 48(6), pages 1333-1347, December.
  9. Wouter J. den Haan, 2002. "The Comovement between Real Activity and Prices in the G7," Tinbergen Institute Discussion Papers 02-092/2, Tinbergen Institute.
  10. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
  11. Buera, Francisco & Nicolini, Juan Pablo, 2004. "Optimal maturity of government debt without state contingent bonds," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 531-554, April.
  12. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
  13. Marlene Amstad & Andreas M. Fischer, 2005. "Shock identification of macroeconomic forecasts based on daily panels," Staff Reports 206, Federal Reserve Bank of New York.
  14. Dobromił Serwa, 2012. "Banking crises and nonlinear linkages between credit and output," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 1025-1040, March.
  15. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2002. "A test for volatility spillovers," Economics Letters, Elsevier, vol. 76(1), pages 77-84, June.
  16. Hans-Martin Krolzig & Michael P. Clements & Department of Economics & University of Warwick, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 58, University of Oxford, Department of Economics.
  17. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
  18. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
  19. 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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