Showing 1 - 10 of 113
group specifications and the models' out-of-sample forecasting performance confirms our model specification. …
Persistent link: https://www.econbiz.de/10013370002
nowcasting and forecasting business cycle turning points. The results show evidence for the superior predictive power of our …
Persistent link: https://www.econbiz.de/10012060224
Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...
Persistent link: https://www.econbiz.de/10011629990
that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …
Persistent link: https://www.econbiz.de/10014548224
The present paper assesses whether monetary policy effects are asymmetric over the business cycle by estimating a univariate model for GDP including additionally the first difference of the 3-month Austrian interest rate as a measure for monetary policy. The asymmetry of the effects is captured...
Persistent link: https://www.econbiz.de/10013369962
This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity) and asymmetries over time (potentially related to the overall state of the economy) in Austrian bank lending reaction to monetary policy. The first type of asymmetry is...
Persistent link: https://www.econbiz.de/10013369973
This paper studies the effects of central bank intervention during the 1992- 1993 EMS crises on the D-mark/peseta and D-mark/French franc exchange rate. In particular, it is analyzed how interventions affected the probability of a speculative attack and market participants' expectations about...
Persistent link: https://www.econbiz.de/10013369997
In the present paper, time series on industrial production growth of individual countries are used to investigate the following questions: (i) Is there a common growth cycle for the euro area countries? (ii) Did the synchronization change over time? (iii) Can we discriminate between a "European"...
Persistent link: https://www.econbiz.de/10013370000
The information contained in a large panel data set is used to date historical turning points of the Austrian business cycle and to forecast future ones. We estimate groups of series with similar time series dynamics and link the groups with a dynamic structure. The dynamic structure identifies...
Persistent link: https://www.econbiz.de/10013370061
There is now considerable evidence that business cycle variation in output and employment in the U.S. differs in expansions and contractions. We present nonparametric evidence that asymmetries are strongest in durable goods manufacturing. In a Markov switching framework, we find two leading...
Persistent link: https://www.econbiz.de/10010263225