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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10009511771
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726
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Cyclical Variation in the Government Spending Multipliers : A Markov-switching SVAR Approach
Lyu, Yifei - 2019
We explore a century-long dataset with a Markov-switching structural VAR to estimate state-dependent government spending multipliers. We show that the multiplier values are statistically larger during recessions than during expansions. However, the multipliers are always smaller than 1. Our...
Persistent link: https://www.econbiz.de/10012900667
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Duration Dependent Markov-Switching Vector Autoregression : Properties, Bayesian Inference, Software and Application
Pelagatti, Matteo M. - 2013
Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...
Persistent link: https://www.econbiz.de/10014059391
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Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching
Klinger, Sabine; Weber, Enzo - 2015
Wir konstruieren ein neues Modell unbeobachteter Komponenten mit Markov-Switching zur Analyse von Hysterese-Effekten, also der Verfestigung ursprünglich zyklischer Fluktuationen. Das Modell kombiniert die Bestandteile einer Trend-Zyklus Zerlegung, der Identifikation von gegenseitigen...
Persistent link: https://www.econbiz.de/10011372431
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The effects of oil price shocks on Turkish business cycle : a Markov switching approach
Abiyev, Vasif; Ceylan, Reşat; Özgür, Munise Ilıkkan - In: International journal of business and economic sciences … 8 (2015) 2, pp. 7-18
Purpose - The purpose of this study is to investigate the relationship between oil price changes and the output growth in Turkey. Design/methodology/approach - The data were taken from International Financial Statistics databases, consisting of monthly data for the period 1986:01-2014:09....
Persistent link: https://www.econbiz.de/10011433970
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Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10010500207
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Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
Gonçalves, Caio César Soares; Portugal, Marcelo Savino; … - In: Economia : revista da ANPEC 17 (2016) 1, pp. 23-42
The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of certain parameters. Using the DSGE model...
Persistent link: https://www.econbiz.de/10011865618
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Un Análisis del Ciclo Económico de la República Dominicana Bajo Cambios de Régimen (Analysis of Business Cycle of the Dominican Republic Using Markov Switching Model)
Cruz-Rodriguez, Alexis - 2013
Este trabajo presenta un modelo univariado de cambios de régimen para analizar el comportamiento del ciclo económico en la República Dominicana, detectando cambios en la media de crecimiento e identificando diferencias entre contracciones y expansiones con respecto a su persistencia y...
Persistent link: https://www.econbiz.de/10013081476
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Brazil’s Sovereign Credit Risk : Changes from 2016 to 2021
Hu, Kelly - 2021
I conduct a risk analysis of Brazil’s sovereign credit. My focus is on possible changes since 2016. Using a country …-level balance sheet framework, I analyze how Brazil’s liabilities pressure its assets, increasing borrowing needs and default …. Because of its export composition, Brazil faces risk from export demand volatility, and revenue is unable to hold this …
Persistent link: https://www.econbiz.de/10013314214