Advances in Markov-Switching Models: Applications in Business Cycle Research and Finance

ISBN-13: 9783642511844 / Angielski / Miękka / 2013 / 267 str.

James D. Hamilton; Baldev Raj; James D. Hamilton

Opis

This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports."

Spis treści

I Introduction and Overview.- New directions in business cycle research and financial analysis.- II The Business Cycle in the U.S..- Permanent and transitory components of recessions.- Can oil shocks explain asymmetries in the US Business Cycle?.- Markov switching in disaggregate unemployment rates.- III The Business Cycle in Other Countries.- A Markov-switching vector equilibrium correction model of the UK labour market.- Plucking models of business cycle fluctuations: Evidence from the G-7 countries.- IV Financial Applications.- Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data.- A regime-switching approach to the study of speculative attacks: A focus on EMS crises.- Fads or bubbles?.- Improving GARCH volatility forecasts with regime-switching GARCH.- V Methodological Contribution.- Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. Output.- List of Referees.