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Citations for "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle"

by Chang-Jin Kim & Charles R. Nelson

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  1. Jan J.J. Groen & George Kapetanios, 2008. "Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting," Working Papers 624, Queen Mary University of London, School of Economics and Finance.
  2. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, EconWPA.
  3. Netsunajev, Aleksei, 2013. "Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 51-62.
  4. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
  5. Olaf Posch, 2008. "Explaining output volatility: The case of taxation," CREATES Research Papers 2008-04, School of Economics and Management, University of Aarhus.
  6. Marco Cipriani & Graciela Kaminsky, 2007. "Volatility in International Financial Market Issuance: The Role of the Financial Center," Open Economies Review, Springer, vol. 18(2), pages 157-176, April.
  7. Chang-Jin Kim & James Morley & Jeremy M. Piger, 2006. "A Bayesian approach to counterfactual analysis of structural change," Working Papers 2004-014, Federal Reserve Bank of St. Louis.
  8. Sandra Bilek-Steindl, 2011. "On the Change in the Austrian Business Cycle," WIFO Working Papers 384, WIFO.
  9. Koch, Christoffer, 2014. "Deposit interest rate ceilings as credit supply shifters: bank level evidence on the effects of Regulation Q," Working Papers 1406, Federal Reserve Bank of Dallas.
  10. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2007. "The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices," Discussion Paper Series 0715, Institute of Economic Research, Korea University.
  11. Olaf Posch & Klaus Wälde, 2006. "Natural Volatility, Welfare and Taxation," CESifo Working Paper Series 1748, CESifo Group Munich.
  12. Wei Dong, 2010. "The Role of Expenditure Switching in the Global Imbalance Adjustment," Working Papers 10-16, Bank of Canada.
  13. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Working Papers 0024, University of Washington, Department of Economics.
  14. James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
  15. Gerald A. Carlino & Robert Defina & Keith Sill, 2013. "The Long and Large Decline in State Employment Growth Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 521-534, 03.
  16. Vicente Tuesta & Juan F. Rubio-Ramirez & Pau Rabanal, 2009. "Cointegrated TFP Processes and International Business Cycles," IMF Working Papers 09/212, International Monetary Fund.
  17. Joakim Westerlund, . "Heteroskedasticity Robust Panel Unit Root tests," Financial Econometics Series 2014_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  18. Jean Pisani-Ferry & Xavier Debrun & André Sapir, 2008. "Government Size and Output Volatility; Should We forsake Automatic Stabilization?," IMF Working Papers 08/122, International Monetary Fund.
  19. Jorge Andraz & Nélia Norte, 2013. "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," CEFAGE-UE Working Papers 2013_17, University of Evora, CEFAGE-UE (Portugal).
  20. Valerie A. Ramey & Daniel J. Vine, 2005. "Tracking the source of the decline in GDP volatility: an analysis of the automobile industry," Finance and Economics Discussion Series 2005-14, Board of Governors of the Federal Reserve System (U.S.).
  21. Kim, Chang-Jin, 2009. "Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure," Journal of Econometrics, Elsevier, vol. 148(1), pages 46-55, January.
  22. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
  23. Francesco Nucci & Marianna Riggi, 2011. "Performance pay and shifts in macroeconomic correlations," Temi di discussione (Economic working papers) 800, Bank of Italy, Economic Research and International Relations Area.
  24. M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," The School of Economics Discussion Paper Series 0103, Economics, The University of Manchester.
  25. Eggers, Andrew & Ioannides, Yannis M., 2006. "The role of output composition in the stabilization of US output growth," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 585-595, September.
  26. Emmanuel De Veirman & Andrew Levin, 2011. "Cyclical changes in firm volatility," Reserve Bank of New Zealand Discussion Paper Series DP2011/06, Reserve Bank of New Zealand.
  27. Kuester, Keith, 2007. "Real price and wage rigidities in a model with matching frictions," Working Paper Series 0720, European Central Bank.
  28. William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Working Papers 14-39, Bank of Canada.
  29. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics.
  30. James A. Feigenbaum & Geng Li, 2010. "A semiparametric characterization of income uncertainty over the life cycle," Finance and Economics Discussion Series 2010-42, Board of Governors of the Federal Reserve System (U.S.).
  31. Müller, Ulrich K., 2012. "Measuring prior sensitivity and prior informativeness in large Bayesian models," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 581-597.
  32. Reis, Ricardo, 2006. "Inattentive consumers," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1761-1800, November.
  33. Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
  34. Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," Working Paper 2003-25, Federal Reserve Bank of Atlanta.
  35. repec:thk:rnotes:3 is not listed on IDEAS
  36. F. Owen Irvine & Scott Schuh, 2005. "The roles of comovement and inventory investment in the reduction of output volatility," Working Papers 05-9, Federal Reserve Bank of Boston.
  37. Ragna Alstadheim & Hilde C. Bjørnland & Junior Maih, 2013. "Do Central Banks Respond to Exchange Rate Movements? A Markow-Switching Structural Investigation," Working Papers 0018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  38. Maciejowska, Katarzyna, 2013. "Assessing the number of components in a normal mixture: an alternative approach," MPRA Paper 50303, University Library of Munich, Germany.
  39. BAUWENS, Luc & ROMBOUTS, Jeroen VK, . "On marginal likelihood computation in change-point models," CORE Discussion Papers RP -2403, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  40. Robert Buckle & David Haugh & Peter Thomson, 2003. "Calm after the storm? Supply-side contributions to New Zealand's GDP volatility decline," New Zealand Economic Papers, Taylor & Francis Journals, vol. 37(2), pages 217-243.
  41. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
  42. Gabriela Lopes de Castro & Ricardo Mourinho Félix & Paulo Júlio & José R. Maria, 2013. "Fiscal multipliers in a small euro area economy: How big can they get in crisis times?," Working Papers w201311, Banco de Portugal, Economics and Research Department.
  43. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus.
  44. OKIMOTO, Tatsuyoshi & SHIMOTSU, Katsumi, 2010. "Decline in the Persistence of Real Exchange Rates : But Not Sufficient for Purchasing Power Parity," Discussion Papers 2010-06, Graduate School of Economics, Hitotsubashi University.
  45. Kriwoluzky, Alexander & Kliem, Martin & Sarferaz, Samad, 2013. "On the low-frequency relationship between public deficits and inflation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80000, Verein für Socialpolitik / German Economic Association.
  46. Xavier Gabaix, 2004. "Power laws and the origins of aggregate fluctuations," Econometric Society 2004 North American Summer Meetings 484, Econometric Society.
  47. Jinho Bae & Chang-Jin Kim & Dong Heon Kim, 2011. "The Evolution of the Monetary Policy Regimes in the U.S," Discussion Paper Series 1102, Institute of Economic Research, Korea University.
  48. Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, vol. 22(1), pages 147-158, January.
  49. Todd E. Clark & Taisuke Nakata, 2008. "Has the behavior of inflation and long-term inflation expectations changed?," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 17-50.
  50. Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
  51. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris West - Nanterre la Défense, EconomiX.
  52. Emmanuel de Veirman & Andrew Levin, 2012. "When Did Firms Become More Different? Time-Varying Firm-Specific Volatility in Japan," DNB Working Papers 351, Netherlands Central Bank, Research Department.
  53. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-00952951, HAL.
  54. Steven Trypsteen, 2014. "Cross-Country Interactions, the Great Moderation and the Role of Output Volatility in Growth," Discussion Papers 2014/14, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  55. Peter N. Ireland, 2004. "Technology Shocks in the New Keynesian Model," The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 923-936, November.
  56. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013. "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working Papers 201343, University of Pretoria, Department of Economics.
  57. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
  58. Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014. "Growth-cycle phases in China’s provinces: A panel Markov-switching approach," Working Papers 2014:19, Department of Economics, University of Venice "Ca' Foscari".
  59. Dennis Gaertner, 2007. "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," SOI - Working Papers 0719, Socioeconomic Institute - University of Zurich.
  60. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
  61. Helge Braun & Reinout De Bock & Riccardo DiCecio, 2009. "Supply shocks, demand shocks, and labor market fluctuations," Review, Federal Reserve Bank of St. Louis, issue May, pages 155-178.
  62. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
  63. Steven J. Davis & James A. Kahn, 2008. "Interpreting the Great Moderation: changes in the volatility of economic activity at the macro and micro Levels," Staff Reports 334, Federal Reserve Bank of New York.
  64. Lee Ohanian & Andres Arias & Gary Hansen, 2005. "Why have business cycle fluctuations become less volatile?," 2005 Meeting Papers 927, Society for Economic Dynamics.
  65. Gary Koop & Simon M. Potter, 2007. "Prior Elicitation in Multiple Change-point Models," Working Paper Series 17-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  66. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis.
  67. Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Working Papers 12-13, Bank of Canada.
  68. Jordi Galí & Luca Gambetti, 2006. "On the sources of the Great Moderation," Economics Working Papers 1041, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2007.
  69. Mertens, Karel, 2008. "Deposit rate ceilings and monetary transmission in the US," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1290-1302, October.
  70. Bezemer, Dirk & Grydaki, Maria, 2014. "Financial fragility in the Great Moderation," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 169-177.
  71. Peter M. Summers, 2005. "What caused the Great Moderation? : some cross-country evidence," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 5-32.
  72. D van Dijk & D R Osborn & M Sensier, 2002. "Changes in Variability of the Business Cycle in the G7 Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 16, Economics, The Univeristy of Manchester.
  73. Florin O. Bilbiie & André Meier & Gernot J. Müller, 2008. "What Accounts for the Changes in U.S. Fiscal Policy Transmission?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1439-1470, October.
  74. Balke, Nathan S. & Brown, Stephen P.A. & Yucel, Mine K., 2010. "Oil Price Shocks and U.S. Economic Activity: An International Perspective," Discussion Papers dp-10-37, Resources For the Future.
  75. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
  76. John A. Tatom, 2011. "Inflation and Asset Prices," NFI Working Papers 2011-WP-26, Indiana State University, Scott College of Business, Networks Financial Institute.
  77. McNown, Robert & Seip, Knut Lehre, 2011. "Periods and structural breaks in US economic history 1959-2007," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 169-182, March.
  78. Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
  79. John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16.
  80. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
  81. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari".
  82. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
  83. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.
  84. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  85. Irvine, F. Owen & Schuh, Scott, 2007. "Interest sensitivity and volatility reductions: Cross-section evidence," International Journal of Production Economics, Elsevier, vol. 108(1-2), pages 31-42, July.
  86. Dynan, Karen E. & Elmendorf, Douglas W. & Sichel, Daniel E., 2006. "Can financial innovation help to explain the reduced volatility of economic activity?," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 123-150, January.
  87. Nucci, Francesco & Riggi, Marianna, 2013. "Performance pay and changes in U.S. labor market dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2796-2813.
  88. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis.
  89. Jermann, Urban & Quadrini, Vincenzo, 2006. "Financial Innovations and Macroeconomic Volatility," CEPR Discussion Papers 5727, C.E.P.R. Discussion Papers.
  90. Fuentes-Albero, Cristina, 2014. "Financial Frictions, Financial Shocks, and Aggregate Volatility," Finance and Economics Discussion Series 2014-84, Board of Governors of the Federal Reserve System (U.S.).
  91. Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2010. "Productivity, Energy Prices and the Great Moderation: A New Link," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 715-724, July.
  92. Stephen G Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2005. "Assessing the Sources of Changes in the Volatility of Real Growth," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  93. Lester, Robert & Pries, Michael & Sims, Eric, 2014. "Volatility and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 17-36.
  94. Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006. "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006 131, Society for Computational Economics.
  95. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
  96. Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004. "Patterns of Comovement: The Role of Information Technology in the U.S. Economy," NBER Working Papers 10937, National Bureau of Economic Research, Inc.
  97. Valerie A. Ramey & Daniel J. Vine, 2005. "Declining Volatility in the U.S. Automobile Industry," NBER Working Papers 11596, National Bureau of Economic Research, Inc.
  98. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  99. Don H. Kim & Athanasios Orphanides, 2005. "Term structure estimation with survey data on interest rate forecasts," Finance and Economics Discussion Series 2005-48, Board of Governors of the Federal Reserve System (U.S.).
  100. David O. Cushman, 2012. "Mankiw vs. DeLong and Krugman on the CEA's Real GDP Forecasts in Early 2009: What Might a Time Series Econometrician Have Said?," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 309-349, September.
  101. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
  102. Cesaroni, Tatiana & Maccini, Louis & Malgarini, Marco, 2011. "Business cycle stylized facts and inventory behaviour: New evidence for the Euro area," International Journal of Production Economics, Elsevier, vol. 133(1), pages 12-24, September.
  103. Fiess, Norbert & Shankar, Rashmi, 2009. "Determinants of exchange rate regime switching," Journal of International Money and Finance, Elsevier, vol. 28(1), pages 68-98, February.
  104. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  105. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  106. Manjola Tase, 2013. "Sectoral allocation, risk efficiency and the Great Moderation," Finance and Economics Discussion Series 2013-73, Board of Governors of the Federal Reserve System (U.S.).
  107. F. Owen Irvine, 2004. "Sales persistence and the reductions in GDP volatility," Working Papers 05-5, Federal Reserve Bank of Boston.
  108. Christopher Reicher & Johannes Utlaut, 2011. "The effect of inflation on real commodity prices," Kiel Working Papers 1704, Kiel Institute for the World Economy.
  109. Timothy Cogley, . "How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth," Working Papers 2133301, Department of Economics, W. P. Carey School of Business, Arizona State University.
  110. Fossati, Sebastian, 2014. "Output Growth and Commodity Prices in Latin America: What Has Changed?," Working Papers 2014-11, University of Alberta, Department of Economics.
  111. Hendrickson, Joshua R., 2012. "An overhaul of Federal Reserve doctrine: Nominal income and the Great Moderation," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 304-317.
  112. Mishkin, Frederic S., 2010. "Monetary policy flexibility, risk management, and financial disruptions," Journal of Asian Economics, Elsevier, vol. 21(3), pages 242-246, June.
  113. Jeremy M. Piger & Robert H. Rasche, 2008. "Inflation: Do Expectations Trump the Gap?," International Journal of Central Banking, International Journal of Central Banking, vol. 4(4), pages 85-116, December.
  114. James Feigenbaum, 2008. "A Nonparametric Characterization of Income Uncertainty over the Lifecycle," Working Papers 359, University of Pittsburgh, Department of Economics, revised Jul 2008.
  115. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor, 2014. "Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models," Working Papers 1324, Queen's University, Department of Economics.
  116. Peter Tulip, 2005. "Has output become more predictable? changes in Greenbook forecast accuracy," Finance and Economics Discussion Series 2005-31, Board of Governors of the Federal Reserve System (U.S.).
  117. Owen Irvine & Scott Schuh, 2002. "Inventory investment and output volatility," Working Papers 02-6, Federal Reserve Bank of Boston.
  118. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc.
  119. Georg Strasser, 2011. "The Efficiency of the Global Markets for Final Goods and Productive Capabilities," 2011 Meeting Papers 576, Society for Economic Dynamics.
  120. Kevin J. Stiroh, 2006. "Volatility accounting: a production perspective on increased economic stability," Staff Reports 245, Federal Reserve Bank of New York.
  121. F. Owen Irvine & Scott Schuh, 2005. "Interest sensitivity and volatility reductions: cross-section evidence," Working Papers 05-4, Federal Reserve Bank of Boston.
  122. repec:dgr:uvatin:20140119 is not listed on IDEAS
  123. Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  124. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
  125. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
  126. Brady, Ryan R., 2008. "Structural breaks and consumer credit: Is consumption smoothing finally a reality?," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 1246-1268, September.
  127. M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The Univeristy of Manchester.
  128. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall & Christopher H. Wheeler, 2007. "The economic performance of cities: a Markov-switching approach," Working Papers 2006-056, Federal Reserve Bank of St. Louis.
  129. Toshiaki Watanabe & Hirokuni Uchiyama, 2005. "Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions," Finance Working Papers 22318, East Asian Bureau of Economic Research.
  130. Luca Benati, 2004. "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England.
  131. Kishor N. Kundan, 2010. "The Superiority of Greenbook Forecasts and the Role of Recessions," National Bank of Poland Working Papers 74, National Bank of Poland, Economic Institute.
  132. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series 2004-52, Board of Governors of the Federal Reserve System (U.S.).
  133. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers 1309, Queen's University, Department of Economics.
  134. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
  135. Milani, Fabio, 2014. "Learning and time-varying macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 94-114.
  136. Michail Karoglou & Bruce Morley & Dennis Thomas, 2013. "Risk and Structural Instability in US House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 424-436, April.
  137. repec:dgr:uvatin:2007099 is not listed on IDEAS
  138. Bartosz Mackowiak, 2005. "What does the Bank of Japan do to East Asia?," SFB 649 Discussion Papers SFB649DP2005-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  139. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.).
  140. Owen Irvine & Scott Schuh, 2007. "The roles of comovement and inventory investment in the reduction of output volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  141. James Feigenbaum & Geng Li, 2011. "Household income uncertainties over three decades," Finance and Economics Discussion Series 2011-25, Board of Governors of the Federal Reserve System (U.S.).
  142. Steven Lugauer, 2012. "Estimating the Effect of the Age Distribution on Cyclical Output Volatility Across the United States," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 896-902, November.
  143. Tatom, John, 2011. "Inflation and asset prices," MPRA Paper 34606, University Library of Munich, Germany.
  144. Arturo Ormeno, 2008. "Great Moderation debate: should we be worry about using approximated policy functions?," 2008 Meeting Papers 659, Society for Economic Dynamics.
  145. Bivin, David G., 2008. "Production stability in a supply-chain environment," International Journal of Production Economics, Elsevier, vol. 114(1), pages 265-275, July.
  146. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  147. Song, Zhe & Jiang, Yu & Zhang, Zijun, 2014. "Short-term wind speed forecasting with Markov-switching model," Applied Energy, Elsevier, vol. 130(C), pages 103-112.
  148. Pancrazi, Roberto, 2013. "How Beneficial was the Great Moderation After All?," The Warwick Economics Research Paper Series (TWERPS) 1016, University of Warwick, Department of Economics.
  149. James B. Bullard & Aarti Singh, 2007. "Worldwide macroeconomic stability and monetary policy rules," Working Papers 2006-040, Federal Reserve Bank of St. Louis.
  150. Soloschenko, Max & Weber, Enzo, 2012. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," University of Regensburg Working Papers in Business, Economics and Management Information Systems 470, University of Regensburg, Department of Economics.
  151. Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "The great moderation of the term structure of UK interest rates," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 856-871, September.
  152. repec:hal:journl:halshs-00658540 is not listed on IDEAS
  153. Marcus Hagedorn, 2007. "A Monetary Model with Strong Liquidity Effects," IEW - Working Papers 353, Institute for Empirical Research in Economics - University of Zurich.
  154. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
  155. Todd E. Clark & Taisuke Nakata, 2006. "The trend growth rate of employment : past, present, and future," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 43-85.
  156. Gerald Carlino & Robert DeFina & Keith Sill, 2002. "The cyclical behavior of state employment during the postwar period," Working Papers 02-14, Federal Reserve Bank of Philadelphia.
  157. Richard G. Anderson & Barry Jones & Marcelle Chauvet, 2013. "Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy," Working Papers 2013-018, Federal Reserve Bank of St. Louis.
  158. Miles, William & Vijverberg, Chu-Ping, 2011. "Formal targets, central bank independence and inflation dynamics in the UK: A Markov-Switching approach," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 644-655.
  159. Taylor, Andrew & Shepherd, David & Duncan, Stephen, 2005. "The structure of the Australian growth process: A Bayesian model selection view of Markov switching," Economic Modelling, Elsevier, vol. 22(4), pages 628-645, July.
  160. M. V. Cacdac Warnock & Francis E. Warnock, 2000. "The declining volatility of U.S. employment: was Arthur Burns right?," International Finance Discussion Papers 677, Board of Governors of the Federal Reserve System (U.S.).
  161. Sugita, Katsuhiro, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
  162. Ichiue, Hibiki & Koyama, Kentaro, 2011. "Regime switches in exchange rate volatility and uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1436-1450.
  163. Gerald Carlino & Robert DeFina & Keith Sill, 2005. "On the stability of employment growth: a postwar view from the U.S. states," Working Papers 04-21, Federal Reserve Bank of Philadelphia.
  164. Mennuni, Alessandro, 2013. "Labor Force Composition and Aggregate Fluctuations," Discussion Paper Series In Economics And Econometrics 1302, Economics Division, School of Social Sciences, University of Southampton.
  165. Alexander Karalis Isaac, 2014. "Higher moments of MSVARs and the business cycle," BCAM Working Papers 1405, Birkbeck Centre for Applied Macroeconomics.
  166. Karapanagiotidis, Paul, 2012. "Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility," MPRA Paper 38885, University Library of Munich, Germany.
  167. Shin-ichi Fukuda & Takashi Onodera, 2001. "A New Composite Index of Coincident Economic Indicators in Japan: How can we improve the forecast performance? ," CIRJE F-Series CIRJE-F-101, CIRJE, Faculty of Economics, University of Tokyo.
  168. Cover, James P. & Pecorino, Paul, 2005. "The length of US business expansions: When did the break in the data occur?," Journal of Macroeconomics, Elsevier, vol. 27(3), pages 452-471, September.
  169. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
  170. Christoph Hanck & Robert Czudaj, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  171. Yongli Zhang, 2010. "Fluctuations of Real Interest Rates and Business Cycles," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 185-208, May.
  172. repec:dgr:uvatin:20130187 is not listed on IDEAS
  173. Louis J. Maccini & Adrian Pagan, 2006. "Inventories, Fluctuations and Business Cycles. Working paper #4," NCER Working Paper Series 4, National Centre for Econometric Research.
  174. Berument, Hakan & Froyen, Richard T., 2006. "Monetary policy and long-term US interest rates," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 737-751, December.
  175. Kero, Afroditi, 2013. "Banks’ risk taking, financial innovation and macroeconomic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 112-124.
  176. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, EconWPA.
  177. repec:dgr:uvatin:2010017 is not listed on IDEAS
  178. Fiess, Norbert & Shankar, Rashmi, 2005. "Regime-switching in exchange rate policy and balance sheet effects," Policy Research Working Paper Series 3653, The World Bank.
  179. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
  180. repec:dgr:uvatin:2006105 is not listed on IDEAS
  181. Steven J. Davis & James A. Kahn, 2007. "Macroeconomic implications of changes in micro volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  182. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
  183. Gerald Carlino & Robert DeFina & Keith Sill, 2003. "Postwar period changes in employment volatility: new evidence from state/industry panel data," Working Papers 03-18, Federal Reserve Bank of Philadelphia.
  184. Bivin, David G., 2006. "Industry evidence of enhanced production stability since 1984," International Journal of Production Economics, Elsevier, vol. 103(1), pages 438-448, September.
  185. Steven Lugauer, 2012. "The Supply of Skills in the Labor Force and Aggregate Output Volatility," Working Papers 005, University of Notre Dame, Department of Economics, revised Jun 2012.
  186. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," Centre for Growth and Business Cycle Research Discussion Paper Series 132, Economics, The Univeristy of Manchester.
  187. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 9-56.
  188. Irvine, F. Owen, 2007. "Sales persistence and the reduction in GDP volatility," International Journal of Production Economics, Elsevier, vol. 108(1-2), pages 22-30, July.
  189. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 225-236, March.
  190. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
  191. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
  192. Hendrickson, Joshua, 2010. "An Overhaul of Fed Doctrine: Nominal Income and the Great Moderation," MPRA Paper 20346, University Library of Munich, Germany.
  193. repec:dgr:uvatin:20130142 is not listed on IDEAS
  194. Angang Hu & Jie Lu & Zhengyan Xiao, 2011. "Has China's Economy Become More Stable and Inertial? Nonlinear Investigations Based on Structural Break and Duration Dependent Regime Switching Models," Annals of Economics and Finance, Society for AEF, vol. 12(1), pages 157-181, May.
  195. Hibiki Ichiue & Kentaro Koyama, 2007. "Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity," Bank of Japan Working Paper Series 07-E-22, Bank of Japan.
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