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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - In: Journal of Economic Dynamics and Control 37 (2013) 11, pp. 2195-2216
This paper examines the usefulness of a more refined business cycle classification for monthly industrial production (IP), beyond the usual distinction between expansions and contractions. Univariate Markov-switching models show that a three regime model is more appropriate than a model with...
Persistent link: https://www.econbiz.de/10011051873
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10009369369
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Instituut - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10011256392
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10008838640
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Cakmakli, Cem; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011257049
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Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
Bognanni, Mark; Herbst, Edward - Federal Reserve Bank of Cleveland - 2014
Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have...
Persistent link: https://www.econbiz.de/10010961575
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Cyclical Co-movement between Output, the Price Level, and Inflation
Haslag, Joseph; Hsu, Yu-Chin - Economics Department, University of Missouri - 2012
Over time, there has been a dramatic change in our understanding of the relationship between the price level and output over the business cycle. For several decades, the conventional wisdom maintained that the price level are procyclical. Arguably, the biggest development in our understanding...
Persistent link: https://www.econbiz.de/10010933619
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The production function approach to the Belgian output gap, estimation of a multivariate structural time series model
Moës, Philippe - In: Brussels Economic Review 49 (2006) 1, pp. 59-91
A multivariate structural time series model is applied to the factor inputs of a production function to estimate the Belgian output gap. The number of independent cycles and the frequencies are not restricted a priori. Phase shifts are introduced to allow for leads and lags. Over 1983-2004, a...
Persistent link: https://www.econbiz.de/10005818102
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Much Ado About Nothing? Estimating the Impact of a U.S. Slowdownon Thai Growth
Aiyar, Shekhar; Tchakarov, Ivan - International Monetary Fund (IMF) - 2008
's largest export destination. We use a small structural model and Bayesian estimation to assess the possible impact of a U …
Persistent link: https://www.econbiz.de/10005248323
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …
Persistent link: https://www.econbiz.de/10005825693