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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …
Persistent link: https://www.econbiz.de/10012227436
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Growth-promoting policies and macroeconomic stability
Sutherland, Douglas; Höller, Peter - 2013
Policy reforms aimed at boosting long-run growth often have side effects – positive or negative – on an economy’s vulnerability to shocks and their propagation. Macroeconomic shocks as severe and protracted as those since 2007 warrant a reconsideration of the role growth-promoting policies...
Persistent link: https://www.econbiz.de/10010231015
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The studentś t dynamic linear regression : re-examining volatility modeling
Heracleous, Maria S.; Spanos, Aris - 2006
Persistent link: https://www.econbiz.de/10003331398
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Keeping track of global trade in real time
Martínez-Martín, Jaime; Rusticelli, Elena - 2018
This paper builds an innovative composite world trade cycle index (WTI) by means of a dynamic factor model to monitor and perform short-term forecasts in real time of world trade growth of both goods and (usually neglected) services. The selection of trade indicator series is made using a...
Persistent link: https://www.econbiz.de/10011995789
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Nowcasting business cycles : a Bayesian approach to dynamic heterogeneous factor models
D'Agostino, Antonello; Giannone, Domenico; Lenza, Michele; … - In: Dynamic factor models, (pp. 569-594). 2016
Persistent link: https://www.econbiz.de/10011448723
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - In: Dynamic factor models, (pp. 437-479). 2016
Persistent link: https://www.econbiz.de/10011448714
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Has the business cycle changed? : Evidence and explanations
Stock, James H.; Watson, Mark W. - In: Monetary policy and uncertainty : adapting to a …, (pp. 9-56). 2003
Persistent link: https://www.econbiz.de/10002775284
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Volatility and job creation in the knowledge economy
Chichilnisky, Graciela; Gorbachev, Olga - In: Essays in dynamic general equilibrium theory ; …, (pp. 45-74). 2004
Persistent link: https://www.econbiz.de/10002575855
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Some evidence of the US business cycle long-term stabilization: decreasing volatility of the US coincident economic indicator
Cholodilin, Konstantin Arkadʹevič - In: Advances in macroeconometric modeling : papers and …, (pp. 41-64). 2004
Persistent link: https://www.econbiz.de/10002008183
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Why has the economy become less volatile?
Labonte, Marc - In: Economic policies : issues and development, (pp. 75-85). 2008
Persistent link: https://www.econbiz.de/10003857138