A dynamic factor VAR model, estimated by MCMC simulation, is employed to assess the relative severity of post-war U.S. recessions. Joint modeling and estimation of all model unknowns yields rank estimates that fully account for parameter uncertainty. A convenient by-product of the simulation...

We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of...

This paper formulates and estimates a three-shock US business cycle model. The estimated model accounts for a substantial fraction of the cyclical variation in output and is consistent with the observed inertia in inflation. This is true even though firms in the model reoptimize prices on...

Long-term marketing effectiveness is a high-priority research topic for managers, and emerges from the complex interplay among dynamic reactions of several market players. This paper introduces restricted policy simulations to distinguish four dynamic forces: consumer response, competitor...