This paper investigates the main sources of instability in Brazil during the currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the high yield market in developed countries as well as for political uncertainty arising from the Brazilian...

This paper merges two isolated bodies of literature: the Markov chain model with macro data (MacRae, 1977) and the ecological inference model (Robinson, 1950). Both are choice models. They have the same likelihood function and the same regression equation.Decades ago, this likelihood function...

This paper sets up a Gibbs sampler for a three state Markov switching model with non-constant transition probabilities. The step from two to three states is accomplished by the use of a multinomial probit model for the latent variable process. The algorithm is then applied to Swiss GDP data in...

It is unclear whether the exceptionally high U.S. current account deficit can be sustained for a prolonged period. In this paper we approach the topic whether a gradual adjustment or a pronounced reduction of the deficit is likely to occur. We therefore characterize the dynamics of the current...

I estimate a forward-looking, dynamic, discrete-choice monetary policy reaction function for the US economy, that accounts for the fact that there are substantial restrictions in the period-to-period changes of the Fed's policy instrument. I find a substantial contrast between the periods before...

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...