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, having only transitory effects. Statistical tests suggest both asymmetries were present in post-war recessions, although the …
Persistent link: https://www.econbiz.de/10005352751
NBER-dated recessions and expansions. Also, the Markov-switching form of nonlinearity is statistically significant and the … “bounce-back” effect is large, implying that the permanent effects of recessions are small. Meanwhile, having accounted for … find larger permanent effects of recessions. …
Persistent link: https://www.econbiz.de/10005352940
This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for...
Persistent link: https://www.econbiz.de/10005352947
component leads switches in the transitory component when entering recessions. …
Persistent link: https://www.econbiz.de/10005353003
aggregate economic activity variables, for forecasting U.S. business cycle phases (expansions and recessions.) In this paper, we …
Persistent link: https://www.econbiz.de/10010551334
Delivered at the High Profile Speaker Series, New York Society of Security Analysts, New York City. November 8, 2010.
Persistent link: https://www.econbiz.de/10010727307
Presented at the Annual Dealmakers Event, San Diego, California.
Persistent link: https://www.econbiz.de/10010727312
Quantitative Easing (QE) Conference. 30 June 2011, St. Louis, MO
Persistent link: https://www.econbiz.de/10010727327
Presented at the 3rd Rocky Mountain Economic Summit, Jackson Hole, Wyoming
Persistent link: https://www.econbiz.de/10010727339
This paper develops a framework for inferring common Markov-switching components in a panel data set with large cross-section and time-series dimensions. We apply the framework to studying similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there...
Persistent link: https://www.econbiz.de/10004973911