This paper evaluates the ability of several commonly followed economic indicators to predict business cycle turning points. As a baseline, forecasts from univariate models are combined by taking averages or by weighting forecasts with model-implied posterior probabilities. These combined...

We employ intranational data for the United States from 1978-1991 to re-explore two discrepancies between international real business cycle models and data (so called 'anomalies') that have been highlighted by Backus, Kehoe and Kydland (1993). The benefit to our approach is that the analysis of...

Recent work by Hamilton, Waggoner and Zha (2004) has demonstrated the importance of identification and normalization in econometric models. In this paper, we use the popular class of two-state Markov switching models to illustrate the consequences of alternative identification schemes for...

This paper tries to grasp banks' motivation for entering derivative markets. The motivation question is interesting for the following reason: if banks' main motivation for using derivatives is speculation, derivatives are likely to increase the risk to banks' capital and thus increase the cost...

This paper compares a set of non-nested empirical business cycle models. The alternative linear models include a VAR and Stock and Watson's (1991) unobserved components model. The alternative nonlinear models include the time-varying transition probability Markov switching model (Filardo 1993)...

This paper reconciles industry conditions with the state of the economy in driving asset liquidation values and, therefore, recovery rates on defaulted debt securities. Macroeconomic effects matter but they operate differentially at the industry level.