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Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-Switching TVP-VARS

Bekiros, Stelios D.; Paccagnini, Alessia - In: Macroeconomic dynamics 19 (2015) 7, pp. 1565-1592

Persistent link: https://www.econbiz.de/10011515386

Real vs. nominal cycles : a multistate Markov-switching bi-factor approach

Leiva-Leon, Danilo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 557-580

Persistent link: https://www.econbiz.de/10010461144

Change-points in US business cycle durations

Davig, Troy - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10009513026

What does financial volatility tell us about macroeconomic fluctuations?

Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of economic dynamics & control 52 (2015), pp. 340-360

Persistent link: https://www.econbiz.de/10011474221

Mixed-frequency VAR models with Markov-switching dynamics

Camacho, Maximo - In: Economics letters 121 (2013) 3, pp. 369-373

Persistent link: https://www.econbiz.de/10010391214

Forecasting the turns of German business cycle : dynamic bi-factor model with Markov switching

Kholodilin, Konstantin A. (contributor) - 2005

In this paper a dynamic bi-factor model with Markov switching is proposed to measure and predict turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities of...