Summary This paper reinterprets Maganelli’s (2009) idea of “Forecasting with Judgment” to obtain a dynamic algorithm for combining survey expectations data and time series models for macroeconomic forecasting. Existing combination approaches typically obtain combined forecasts by linearly...

An unresolved question concerning stochastic depreciation shocks is whether they have to be unrealistically large to have any useful role in a dynamic general equilibrium model economy, as Ambler and Paquet (1994) first suggested. We first consider implied depreciation rates from sectoral data...

Summary This paper proposes a dynamic bi-factor model with Markov switching which detects and predicts turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities...

We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence...

Abstract The goal of this research was to use Bayesian switching volatility models to model the stock returns of the GCB, bank in Ghana. Monthly stock prices of GCB bank for the period of 138 months were used for the study. The two-state Markov-Switching GARCH models were used in the study to...

Purpose – The aim of this paper is to measure and evaluate the relationship between returns-volatility and trading volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The time dynamic dependence parameter is allowed to...

Purpose – This paper aims to use Markov switching vector auto regression (MSVAR) methods to examine UK house price cycles in UK regions at NUTS1 level. There is extensive literature on UK regional house price dynamics, yet empirical work focusing on the duration and magnitude of regional...

Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well...

Summary Inventory fluctuations play an important role in the formation of business cycles. In Germany, little research has been dedicated to this topic recently. In this study, a structural time series model in the tradition of Harvey (1989) is employed to decompose German inventory investment...

Summary This paper considers popular methods for the quantification of survey expectations. We investigate the asymptotic properties of two variants of the probability approach originally suggested by Carlson and Parkin (1975). It is argued that the traditional method can be interpreted as an...