This dissertation proposes a dynamic factor model with regime switching as an empirical characterization of business cycles. The approach integrates the idea of comovements among macroeconomic variables and asymmetries of business cycle expansions and contractions. The first is captured with an...

We compare forecasts of recessions using four different specifications of the probit model: a time invariant conditionally independent version; a business cycle specific conditionally independent model; a time invariant probit with autocorrelated errors; and a business cycle specific probit with...

This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility...

This paper examines the dynamic relationship between stock market movements and business cycles at the monthly frequency. Given the forward-looking behavior of stock market investors, it explores the possibility of using fluctuations in the stock market to forecast business cycle turning points...

This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility...

This paper explores the dynamic relationship between stock market fluctuations and the business cycle. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behavior of stock...

In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a nonlinear coincident financial indicator. The indicator is constructed as an unobservable factor whose first moment and conditional volatility are driven by a two state Markov...

This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model...

This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made....

We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract the common long-run component of volatility that is...