This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...

This paper explores the link between exports and total factor productivity (TFP) in Brazilian manufacturing firms over the period 2000–2008. The Brazilian experience is instructive as it is a case of an economy that expanded aggregate exports significantly, but with stagnant aggregate TFP...

In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an appropriate Markovian dynamics is taken into account, the AYM has different equilibrium distributions depending on the form of transition...

The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very valuable for regulators of the financial system. One important part of the financial system is the interbank payment system. This paper develops a robust measure, SinkRank, that...

This paper studies the effect of exchange rate pass-through on inflation in Tunisia for the period 2001 to 2009. The objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main regimes for...