This paper estimates a dynamic stochastic general quilibrium (DSGE) model for the Japanese economy over 1970:Q1 through 1998:Q4, which is prior to the period of zero interest rate bound. More specifically, the New-Keynesian DSGE model with several frictions such as stickiness in price and wage,...

Using a Markov-switching model and Bayesian inference, the turning points of Japanese business cycles are identified from a monthly coincident composite index series, taken over the last thirty years. Ordinarily, in taking such a long-range estimation approach, we would face the following...

Bivariate mixture models attribute the well-known positive correlation between return volatility and trading volume in financial markets to stochastic changes in a single latent variable representing the number of information arrivals. In this article, dynamic bivariate mixture models that allow...