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Do recessions occur concurrently across countries? A multinomial logistic approach
Poon, Aubrey; Zhu, Dan - 2022
We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...
Persistent link: https://www.econbiz.de/10013426309
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Cyclical dynamics of industrial production and employment: Markov chain-based estimates and test
Altuğ, Sumru; Tan, Barış; Gencer, Gözde - 2011
This paper characterizes the business cycle as a recurring Markov chain for a broad set of developed and developing countries. The objective is to understand differences in cyclical phenomena across a broad range of countries based on the behavior of two key economic times series - industrial...
Persistent link: https://www.econbiz.de/10010273654
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Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland
Cuche, Nicolas A.; Hess, Martin K. - 1999
In this paper, we estimate deseasonalized monthly series for Swiss gross domestic product at constant prices of 1990 for the period 1980-1998. They are consistent with the quarterly figures estimated by the Federal Office for Economic Development and Labour and are obtained by including...
Persistent link: https://www.econbiz.de/10011430006
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Information in the revision process of real-time datasets
Corradi, Valentina; Fernandez, Andres; Swanson, Norman R. - 2011
Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does … against data rationality for output and prices, but not for money. …
Persistent link: https://www.econbiz.de/10010282830
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Real-time datasets really do make a difference: Definitional change, data release, and forecasting
Fernandez, Andres; Swanson, Norman - 2011
importance of particular forms of definitional change which we call 'definitional breaks', and the rationality of early releases … of economic variables. An important feature of our rationality tests is that they are based solely on the examination of … 'target' variable to be predicted, using only 'first release' data in model estimation and prediction construction yields mean …
Persistent link: https://www.econbiz.de/10010282871
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Inside money in a Kaldor-Kalecki-Steindl fiscal policy model: The unit of account, inflation, leverage, and financial fragility
Hannsgen, Greg; Young-Taft, Tai - 2015
We hope to model financial fragility and money in a way that captures much of what is crucial in Hyman Minsky's financial fragility hypothesis. This approach to modeling Minsky may be unique in the formal Minskyan literature. Namely, we adopt a model in which a psychological variable we call...
Persistent link: https://www.econbiz.de/10011545299
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Search complementarities, aggregate fluctuations, and fiscal policy
Fernández-Villaverde, Jesús; Mandelman, Federico S.; … - 2019
We develop a quantitative business cycle model with search complementarities in the inter-firm matching process that entails a multiplicity of equilibria. An active equilibrium with strong joint venture formation, large output, and low unemployment coexists with a passive equilibrium with low...
Persistent link: https://www.econbiz.de/10012030291
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Why does the yield-curve slope predict recessions?
Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018
Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...
Persistent link: https://www.econbiz.de/10012030358
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Institutions and business cycles
Altug, Sumru; Emin, Mustafa; Neyapti, Bilin - 2011
This paper investigates the relationship between the main business cycles features and the institutional and structural characteristics of countries in which they are observed. We derive the business cycle characteristics of the individual countries using the nonparametric Harding-Pagan...
Persistent link: https://www.econbiz.de/10010273647
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Business cycles around the globe: a regime switching approach
Altuğ, Sumru; Bildirici, Melike - 2010
This paper characterizes business cycle phenomena in a sample of 22 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each...
Persistent link: https://www.econbiz.de/10010273675