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Citations for "Business cycle durations"

by Andrew J. Filardo & Stephen F. Gordon

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  1. Shinn-Juh Lin & Jian Yang, 2003. "Examining intraday returns with buy/sell information," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 447-461.
  2. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
  3. Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14.
  4. 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.
  5. Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers 4, Centre for Central Banking Studies, Bank of England.
  6. Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho.
  7. Shyh-Wei Chen & Chung-Hua Shen, 2006. "Is there a duration dependence in Taiwan's business cycles?," International Economic Journal, Taylor & Francis Journals, vol. 20(1), pages 109-128.
  8. Luca Agnello & Gilles Dufrénot & Ricardo M. Sousa, 2012. "Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework," NIPE Working Papers 20/2012, NIPE - Universidade do Minho.
  9. Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034, HAL.
  10. Roland G. Shami & Catherine S. Forbes, 2002. "Non-linear Modelling of the Australian Business Cycle using a Leading Indicator," Monash Econometrics and Business Statistics Working Papers 5/02, Monash University, Department of Econometrics and Business Statistics.
  11. Martha Misas & María Teresa Ramírez, 2006. "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," BORRADORES DE ECONOMIA 002148, BANCO DE LA REPÚBLICA.
  12. Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307.
  13. Sylvia Kaufmann, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
  14. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
  15. Deschamps, Philippe J., 2007. "Comparing smooth transition and Markov switching autoregressive models of US Unemployment," DQE Working Papers 7, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 04 Jun 2008.
  16. Chib & Siddhartha; Dueker, 2004. "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 North American Summer Meetings 600, Econometric Society.
  17. Gary Koop, 2001. "Modeling the Evolution of Distributions: An Application to Major League Baseball," ESE Discussion Papers 71, Edinburgh School of Economics, University of Edinburgh.
  18. repec:hhs:bofitp:2014_015 is not listed on IDEAS
  19. repec:dau:papers:123456789/11155 is not listed on IDEAS
  20. Dufrénot, G. & Malik, S., 2010. "The changing role of house price dynamics over the business cycle," Working papers 309, Banque de France.
  21. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2014. "The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis," Working Papers 15-13, Eastern Mediterranean University, Department of Economics.
  22. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
  23. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  24. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  25. 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.
  26. Barthélemy, J. & Marx, M., 2011. "State-Dependent Probability Distributions in Non Linear Rational Expectations Models," Working papers 347, Banque de France.
  27. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial indicators and density forecasts for US output and inflation," Temi di discussione (Economic working papers) 977, Bank of Italy, Economic Research and International Relations Area.
  28. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  29. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
  30. repec:cuf:journl:y:2014:v:15:i:2:abiad is not listed on IDEAS
  31. Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
  32. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
  33. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
  34. Gadea Rivas, Maria Dolores & Pérez-Quirós, Gabriel, 2012. "The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit," CEPR Discussion Papers 9269, C.E.P.R. Discussion Papers.
  35. Martha Misas & María Teresa Ramírez, . "Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model," Borradores de Economia 340, Banco de la Republica de Colombia.
  36. Abdul d Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
  37. Pierre L Siklos, 2013. "Forecast disagreement and the anchoring of inflation expectations in the Asia-Pacific Region," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 25-40 Bank for International Settlements.
  38. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
  39. Andrew Filardo, 2004. "The 2001 US recession: what did recession prediction models tell us?," BIS Working Papers 148, Bank for International Settlements.
  40. Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.
  41. Erlandsson, Ulf, 2005. "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers 2005:25, Lund University, Department of Economics.
  42. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
  43. Atish R. Ghosh & Juan Zalduendo & Manuela Goretti & Bikas Joshi & Alun H. Thomas, 2007. "Modeling Aggregate Use of Fund Resources—Analytical Approaches and Medium-Term Projections," IMF Working Papers 07/70, International Monetary Fund.
  44. Shachat, Jason & Wei, Lijia, 2013. "Discrete Rule Learning and the Bidding of the Sexes," MPRA Paper 47953, University Library of Munich, Germany.
  45. Wai Mun Fong & Kim Hock See, 2003. "Basis variations and regime shifts in the oil futures market," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 499-513.
  46. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
  47. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
  48. Blagov, Boris & Funke, Michael, 2014. "The credibility of Hong Kong’s currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities," BOFIT Discussion Papers 15/2014, Bank of Finland, Institute for Economies in Transition.
  49. Robert Gagné & Simon Van Norden & Bruno Versaevel, 2006. "Testing Optimal Punishment Mechanisms under Price Regulation: the Case of the Retail Market for Gasoline," Post-Print halshs-00142516, HAL.
  50. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  51. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  52. Avouyi-Dovi, S. & Idier, J., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.
  53. Cruz-Rodríguez, Alexis, 2011. "Prediction of Currency Crises using a Fiscal Sustainability Indicator," MPRA Paper 72101, University Library of Munich, Germany.
  54. Hans-Martin Krolzig & Michael Clements, 2000. "Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions," Economics Series Working Papers 2000-W32, University of Oxford, Department of Economics.
  55. Ghent, Andra C. & Owyang, Michael T., 2010. "Is housing the business cycle? Evidence from US cities," Journal of Urban Economics, Elsevier, vol. 67(3), pages 336-351, May.
  56. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften dp1307, Universitaet Bern, Departement Volkswirtschaft.
  57. Avouyi-Dovi, Sanvi & Idier, Julien, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 428-438.
  58. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen
    [Analysis of business cycle of the Dominican Republic using Markov Switching model]
    ," MPRA Paper 54352, University Library of Munich, Germany.
  59. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
  60. Gilles Dufrénot & Aurélia Jambois & Laurine Jambois & Guillaume Khayat, 2016. "Regime-Dependent Fiscal Multipliers in the United States," Open Economies Review, Springer, vol. 27(5), pages 923-944, November.
  61. Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306.
  62. M. Portugal & I.A. de Morais, 2004. "STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach," Econometric Society 2004 Latin American Meetings 346, Econometric Society.
  63. repec:onb:oenbwp:y::i:144:b:1 is not listed on IDEAS
  64. AMMOURI, Bilel & TOUMI, Hassen & Zitouna, Habib, 2015. "Forecasting Inflation in Tunisia Using Dynamic Factors Model," MPRA Paper 65514, University Library of Munich, Germany.
  65. Gilles Dufrénot & Benjamin Keddad, 2013. "Business Cycles Synchronization in East Asia: A Markov-Switching Approach," AMSE Working Papers 1344, Aix-Marseille School of Economics, Marseille, France, revised Sep 2013.
  66. Erlandsson, Ulf, 2004. "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers 2004:4, Lund University, Department of Economics, revised 18 Mar 2004.
  67. Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307, April.
  68. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
  69. Alex Mandilaras & Graham Bird, 2007. "Foreign exchange markets in south-east Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods," Money Macro and Finance (MMF) Research Group Conference 2006 40, Money Macro and Finance Research Group.
  70. 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.
  71. Allan Layton & Daniel R. Smith, 2005. "Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes," School of Economics and Finance Discussion Papers and Working Papers Series 200, School of Economics and Finance, Queensland University of Technology.
  72. Agnello, Luca & Dufrénot, Gilles & Sousa, Ricardo M., 2013. "Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices," Economic Modelling, Elsevier, vol. 34(C), pages 25-36.
  73. 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.
  74. repec:oxf:wpaper:2000-w36.2 is not listed on IDEAS
  75. Dufrénot, G. & Triki, K., 2012. "Public debt ratio and its determinants in France since 1890 Does econometrics support the historical evidence?," Working papers 385, Banque de France.
  76. Tchana Tchana, Fulbert, 2014. "The empirics of banking regulation," Emerging Markets Review, Elsevier, vol. 19(C), pages 49-76.
  77. Takeuchi, Fumihide, 2010. "US external debt sustainability revisited: Bayesian analysis of extended Markov switching unit root test," Japan and the World Economy, Elsevier, vol. 22(2), pages 98-106, March.
  78. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris West - Nanterre la Défense, EconomiX.
  79. Penelope A. Smith & Peter M. Summers, 2004. "How Well Do Markov Switching Models Describe Actual Business Cycles? The Case of Synchronization," Melbourne Institute Working Paper Series wp2004n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  80. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
  81. Michael T. Owyang & Abbigail J. Chiodo, 2002. "Duration dependence in monetary policy: international evidence," Working Papers 2002-021, Federal Reserve Bank of St. Louis.
  82. 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.
  83. Francesco Lamperti & Clara Elisabetta Mattei, 2016. "Going Up and Down: Rethinking the Empirics of Growth in the Developing and Newly Industrialized World," LEM Papers Series 2016/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  84. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
  85. Gabriela Mundaca, B., 2000. "The effect of interventions on realignment probabilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 323-347, December.
  86. repec:dau:papers:123456789/11156 is not listed on IDEAS
  87. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
  88. repec:pit:wpaper:367 is not listed on IDEAS
  89. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
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