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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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GDP solera : the ideal vintage mix
Almuzara, Martín; Amengual, Dante; Fiorentini, Gabriele; … - 2022
cointegration between the different measures and taking their monthly release calendar seriously. We also combine all existing …
Persistent link: https://www.econbiz.de/10013336360
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Is there a national housing market bubble brewing in the United States?
Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020
We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...
Persistent link: https://www.econbiz.de/10012229804
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The natural rate of interest and the financial cycle
Krustev, Georgi - 2018
estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By …
Persistent link: https://www.econbiz.de/10011871950
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Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model
Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56
Persistent link: https://www.econbiz.de/10011642177
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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …
Persistent link: https://www.econbiz.de/10013314848
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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent …
Persistent link: https://www.econbiz.de/10009530402
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On the construction of two-country cointegrated VAR models with an application to the UK and US
Heinlein, Reinhold; Krolzig, Hans-Martin - 2012
the approach by Aoki (1981) frequently used in economic theory. Aoki showed that for a system of linear differential …. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and …
Persistent link: https://www.econbiz.de/10009672516
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Stock market investment and inflation : evidence from the United States and Canada
Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365
distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long …
Persistent link: https://www.econbiz.de/10012886334
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Regime switching and the (in) stability of the price-rent relationship : evidence from the US
Kim, J. R.; Chung, K. - In: Applied economics 46 (2014) 31/33, pp. 4041-4052
Persistent link: https://www.econbiz.de/10010421848