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Citations for "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models"

by Terasvirta, T & Anderson, H M

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  1. Gabriel Rodríguez, 2010. "Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-25.
  2. Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn, 2004. "Forecasting unemployment using an autoregression with censored latent effects parameters," International Journal of Forecasting, Elsevier, vol. 20(2), pages 255-271.
  3. Georgellis, Yannis & Gregoriou, Andros & Tsitsianis, Nikolaos, 2008. "Adaptation towards reference values: A non-linear perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 768-781, September.
  4. Osama D. Sweidan, 2008. "Does Policy Interest Rate Have Asymmetric Adjustment: Case Of Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 151-158.
  5. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working papers 2012-12, University of Connecticut, Department of Economics.
  6. Robert Sollis, 2004. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity," Money Macro and Finance (MMF) Research Group Conference 2003 91, Money Macro and Finance Research Group.
  7. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach," Working Papers 201647, University of Pretoria, Department of Economics.
  8. Arouri, Mohamed El Hédi & Jawadi, Fredj & Nguyen, Duc Khuong, 2012. "Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS," Economic Modelling, Elsevier, vol. 29(3), pages 884-892.
  9. Anderson, Heather M. & Ramsey, James B., 2002. "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 33-67, January.
  10. 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.
  11. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
  12. Ana María Iregui & Costas Milas & Jesus Otero, 2002. "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers 02-29, Economics and Finance Section, School of Social Sciences, Brunel University.
  13. Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.
  14. V. Coudert & C. Couharde & V. Mignon, 2013. "Pegging emerging currencies in the face of dollar swings," Applied Economics, Taylor & Francis Journals, vol. 45(36), pages 5076-5085, December.
  15. JAWADI Fredj, 2008. "Does nonlinear econometrics confirm the macroeconomic models of consumption?," Economics Bulletin, AccessEcon, vol. 5(17), pages 1-11.
  16. Chinn, Menzie & Ferrara, Laurent & Mignon, Valérie, 2014. "Explaining US employment growth after the great recession: The role of output–employment non-linearities," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 118-129.
  17. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  18. Balagtas, Joseph Valdes & Holt, Matthew T., 2006. "Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis," 2006 Annual meeting, July 23-26, Long Beach, CA 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  19. Ubilava, David, 2014. "International Wheat Price Responses to ENSO Shocks: Modelling Transmissions Using Smooth Transitions," Working Papers 2014-06, University of Sydney, School of Economics.
  20. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility across Financial Crises," CEPN Working Papers hal-00845254, HAL.
  21. John Galbraith & Simon van Norden, 2008. "The Calibration of Probabilistic Economic Forecasts," CIRANO Working Papers 2008s-28, CIRANO.
  22. Baaziz, Yosra & Labidi, Moez & Lahiani, Amine, 2013. "Does the South African Reserve Bank follow a nonlinear interest rate reaction function?," Economic Modelling, Elsevier, vol. 35(C), pages 272-282.
  23. Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
  24. Pede, Valerien O. & Florax, Raymond J.G.M. & Lambert, Dayton M., 2014. "Spatial econometric STAR models: Lagrange multiplier tests, Monte Carlo simulations and an empirical application," Regional Science and Urban Economics, Elsevier, vol. 49(C), pages 118-128.
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  26. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
  27. Jui-Chuan (Della) Chang & Dennis W. Jansen, 2005. "The Effect of Monetary Policy on Bank Lending and Aggregate Output: Asymmetries from Nonlinearities in the Lending Channel," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 129-153, May.
  28. Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2013. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Post-Print hal-01410577, HAL.
  29. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
  30. D. Jones & Maurice Peat & Max Stevenson, 1996. "Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle," Working Paper Series 67, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  31. Houda Ben Hadj Boubaker, 2011. "The Forecasting Performance of Seasonal and Nonlinear Models," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 1(1), pages 26-39, March.
  32. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  33. Luis Eduardo Arango & Luis Fernando Melo, . "Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models," Borradores de Economia 186, Banco de la Republica de Colombia.
  34. Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers KERP 2005/08, Centre for Economic Research, Keele University.
  35. Stefan Reitz & Mark Taylor, 2012. "FX intervention in the Yen-US dollar market: a coordination channel perspective," International Economics and Economic Policy, Springer, vol. 9(2), pages 111-128, June.
  36. Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016. "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1003-1042, November.
  37. Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
  38. repec:ebl:ecbull:v:30:y:2010:i:1:p:543-557 is not listed on IDEAS
  39. Aslanidis, Nektarios & Hartigan, Luke, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Working Papers 2072/261531, Universitat Rovira i Virgili, Department of Economics.
  40. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
  41. McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
  42. Hamori, Shigeyuki, 2000. "Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan," Japan and the World Economy, Elsevier, vol. 12(2), pages 143-152, May.
  43. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  44. Nachatchapong Kaewsompong & Songsak Sriboonchitta & Prasert Chaitip & Pathairat Pastpipatkul, 2012. "Econometric modeling of the relationship among macroeconomic variables of Thailand: Smooth transition autoregressive regression model," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 21-38, December.
  45. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  46. Hyeong Ho Moon & Tae-Hwan Kim & Seongho Nah, 2012. "On measuring the nonlinear effect of interest rates on inflation and output," Working papers 2013rwp-53, Yonsei University, Yonsei Economics Research Institute.
  47. Kisswani, Khalid M. & Nusair, Salah A., 2013. "Non-linearities in the dynamics of oil prices," Energy Economics, Elsevier, vol. 36(C), pages 341-353.
  48. Adom, Philip Kofi & Bekoe, William, 2013. "Modelling electricity demand in Ghana revisited: The role of policy regime changes," Energy Policy, Elsevier, vol. 61(C), pages 42-50.
  49. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  50. Kumawat, Lokendra, 2010. "Effect of Rainfall on Seasonals in Indian Manufacturing Production: Evidence from Sectoral Data," MPRA Paper 25300, University Library of Munich, Germany.
  51. Reitz, Stefan & Westerhoff, Frank, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies (CFS).
  52. Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
  53. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  54. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  55. Mohamed El Hedi Arouri & Fredj Jawadi & Khuong Nguyen Duc, 2010. "Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets," Working Papers 14, Development and Policies Research Center (DEPOCEN), Vietnam.
  56. Antonia Lopez Villavicencio & Valérie Mignon, 2014. "Nonlinearity of the inflation-output trade-off and time-varying price rigidity," Post-Print hal-01386097, HAL.
  57. Richard Ashley, 2010. "On the Origins of Conditional Heteroscedasticity in Time Series," Working Papers e07-23, Virginia Polytechnic Institute and State University, Department of Economics.
  58. Marcelo Savino Portugal & Igor Alexandre Clemente de Morais, 2004. "Business Cycle In The Industrial Production Of Brazilian States," Econometric Society 2004 Latin American Meetings 23, Econometric Society.
  59. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
  60. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
  61. Kulaksizoglu, Tamer & Kulaksizoglu, Sebnem, 2009. "The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis," MPRA Paper 23780, University Library of Munich, Germany.
  62. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
  63. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffrey P., 2012. "Nonlinear exchange rate pass-through in timber products: the case of oriented strand board in Canada and the United States," MPRA Paper 40834, University Library of Munich, Germany.
  64. Alain Maurin & Roland Craigwell & Sébastien Mathouraparsad, 2011. "Modeling time series of unemployment rates in the Caribbean basin," EcoMod2011 3296, EcoMod.
  65. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  66. Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014. "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers 201414, University of Pretoria, Department of Economics.
  67. Luis Arango & Andres Gonzalez, 2001. "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 155-162.
  68. Ericsson, Neil R & Hendry, David F & Prestwich, Kevin M, 1998. " The Demand for Broad Money in the United Kingdom, 1878-1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
  69. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society.
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  71. Fan, Jingwen & Arghyrou, Michael G, 2011. "UK Fiscal Policy Sustainability, 1955-2006," Cardiff Economics Working Papers E2011/9, Cardiff University, Cardiff Business School, Economics Section.
  72. Marina Tkalec, 2013. "The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 66-83.
  73. Terence Mills, 2001. "Business cycle asymmetry and duration dependence: An international perspective," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 713-724.
  74. Rodriguez, Nestor & Eales, James S., 2015. "Structural Change via Threshold Effects: Estimating U.S. Meat Demand Using Smooth Transition Functions and the Effects of More Women in the Labor Force," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206522, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  75. Nektarios Aslanidis, 2006. "Business Cycle Regimes in CEECs Production: a Threshold SUR Approach," Bank of Estonia Working Papers 2006-01, Bank of Estonia, revised 10 Oct 2006.
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  77. Derek Stimel, 2010. "Choice of Aggregate Demand Proxy and its Affect on Phillips Curve Nonlinearity: U.S. Evidence," Economics Bulletin, AccessEcon, vol. 30(1), pages 543-557.
  78. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 771-789.
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  101. Adom, Philip Kofi, 2015. "Asymmetric impacts of the determinants of energy intensity in Nigeria," Energy Economics, Elsevier, vol. 49(C), pages 570-580.
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  105. Craigwell, Roland & Mathouraparsad, Sebastien & Maurin, Alain, 2011. "Unemployment hysteresis in the English-speaking Caribbean: evidence from non-linear models," MPRA Paper 33440, University Library of Munich, Germany.
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  127. Ubilava, David & Helmers, Claes Gustav, 2011. "The ENSO Impact on Predicting World Cocoa Prices," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103528, Agricultural and Applied Economics Association.
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  132. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
  133. Derek Stimel, 2009. "An examination of U.S. Phillips curve nonlinearity and its relationship to the business cycle," Economics Bulletin, AccessEcon, vol. 29(2), pages 736-748.
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