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This paper proposes a generalized multivariate framework to measure the significance of common permanent and transitory components in international business cycle fluctuations. I employ a multivariate unobserved components model with Markov regime switching to investigate the nonlinear dynamics...
Persistent link: https://www.econbiz.de/10014062640
This paper investigates the business cycle linkages between Canada, Mexico, and the United States by examining the significant features of the three business cycles for the period 1963 to 2002. It analyzes the correlation between the cyclical fluctuations in these countries and answers this key...
Persistent link: https://www.econbiz.de/10014060184
This paper investigates the business cycle linkages between Canada, Mexico, and the United States by examining the significant features of the three business cycles for the period 1963 to 2002. It analyzes the correlation between the cyclical fluctuations in these countries and tries to...
Persistent link: https://www.econbiz.de/10012768360
Wir konstruieren ein neues Modell unbeobachteter Komponenten mit Markov-Switching zur Analyse von Hysterese-Effekten, also der Verfestigung ursprünglich zyklischer Fluktuationen. Das Modell kombiniert die Bestandteile einer Trend-Zyklus Zerlegung, der Identifikation von gegenseitigen...
Persistent link: https://www.econbiz.de/10011372431
Not so much and we should not, at least not yet.
Persistent link: https://www.econbiz.de/10011604641
In this paper we present two new composite leading indicators of economicactivity in Germany estimated using a dynamic factor model with and withoutregime switching. The obtained optimal inferences of business cycle turningpoints indicate that the two-state regime switching procedure leads to...
Persistent link: https://www.econbiz.de/10011400394
In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...
Persistent link: https://www.econbiz.de/10011999163
Persistent link: https://www.econbiz.de/10014473203
We present non-linear models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2017. We first estimate Markov Switching models within a univariate framework. These models support the relevance of three business cycle regimes...
Persistent link: https://www.econbiz.de/10012059037
The study analyses the business cycles of the G7 countries in a structural vector autoregression(SVAR) framework comprising output, nominal interest rate and inflation. Common and country-specific supply, demand and nominal shocks of each G7 country are identified, and the corresponding shock...
Persistent link: https://www.econbiz.de/10010298787