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Measuring and Predicting Heterogeneous Recessions

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011

This paper examines whether the Conference Board's Leading Economic Index (LEI) can be used for modeling and forecasting a more refined business cycle classification beyond the usual distinction between expansions and contractions. Univariate Markov-switching models for monthly coincident...

Persistent link: https://www.econbiz.de/10014176004

Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10010326552

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10010325871

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Strachan, Rodney W. - 2012

around 1984 after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more …

Persistent link: https://www.econbiz.de/10013108781

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel; Bos, Charles S.; Laurent, Sebastian - 2005

1989-2003. We identify the currency components of the mean and the volatility processes of exchange rates using the recent …

Persistent link: https://www.econbiz.de/10010325246

Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

e Azevedo, Joao Valle; Koopman, Siem Jan; Rua, Antonio - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10010324815

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001

exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo … methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

Persistent link: https://www.econbiz.de/10010324963

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999

series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10010324426

Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility

Bos, Charles S. - 2008

stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on …

Persistent link: https://www.econbiz.de/10010326060

Entrepreneurship and the Business Cycle

Koellinger, P.D.; Thurik, A.R. - 2009

We study the cyclical pattern of entrepreneurial activity. Results across 22 OECD countries for the period 1972-2007 show that entrepreneurial activity is a leading indicator of the business cycle in a Granger-causality sense. This contradicts existing theoretical hypotheses which predict that...

Persistent link: https://www.econbiz.de/10010325663