Search Results - subject:"Markov‐switching model"

REVISITING THE EXPORT-OUTPUT NEXUS FOR WESTERN AFRICA COUNTRIES: A MARKOV SWITCHING CAUSALITY APPROACH

AKA, Bédia F. - In: Applied Econometrics and International Development 8 (2008) 1, pp. 155-166

This paper examines the empirical relationships between exports growth and economic performance for western Africa countries using a non-linear Markov Switching VAR model in contrast with previous linear time series studies. We could not find causality from exports to GDP and vice versa in...

Persistent link: https://www.econbiz.de/10005406768

A further extension of duration-dependent models

Isogai, Akifumi; Kanoh, Satoru; Tokunaga, Toshifumi - In: The European Journal of Finance 14 (2008) 5, pp. 427-449

The duration dependence of stock market cycles has been investigated using the Markov switching model where the market …

Persistent link: https://www.econbiz.de/10005471933

Determinants of Currency Crises in Emerging Markets: The Case of Turkey

ÃeÅmeci, Ãzge; Ãnder, A. Ãzlem - In: Emerging Markets Finance and Trade 44 (2008) 5, pp. 54-67

, the signaling approach, structural model, and Markov switching model with monthly data for the period 1992-2004. The …

Persistent link: https://www.econbiz.de/10005225770

Exchange rates and fundamentals : a non-linear relationship?

De Grauwe, Paul; Vansteenkiste, Isabel - In: International journal of finance & economics : IJFE 12 (2007) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10015180283

Is there a duration dependence in Taiwan's business cycles?

Chen, Shyh-Wei; Shen, Chung-Hua - In: International Economic Journal 20 (2006) 1, pp. 109-128

duration dependent Markov switching model are identical to the officially defined recessionary chronologies. … switching model is revised to take account of the duration dependent feature. The most innovative findings herein are that there …This paper intends to investigate the duration dependent feature of Taiwan's business cycles. The constant Markov …

Persistent link: https://www.econbiz.de/10005511703

Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK

Chen, Shyh-Wei - In: Mathematics and Computers in Simulation (MATCOM) 71 (2006) 2, pp. 87-102

This paper investigates the volatility of the rates of output growth for the U.S., Canada and the UK. We empirically characterize the volatility of the growth rate of real GDP and, at the same time, we hope we can successfully identify business cycle turning points. The empirical results show...

Persistent link: https://www.econbiz.de/10010748779

Are the Effects of Monetary Policy Asymmetric?

Garcia, René; Schaller, Huntley - Centre Interuniversitaire de Recherche en Analyse des … - 1995

This paper focuses on whether monetary policy has asymmetric effects. By building on the Markov switching model …

Persistent link: https://www.econbiz.de/10005168999

The business cycle in a financially deregulated context: Theory and evidence

Cruz, Moritz - In: International Review of Applied Economics 19 (2005) 3, pp. 271-287

decades. In support of these claims, a three-regime autoregressive Markov switching model is estimated from 1980q1 to 2000q4 …

Persistent link: https://www.econbiz.de/10005445811

The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis

Goretti, Manuela - EconWPA - 2005

political uncertainty in raising the probability of crisis. The empirical investigation employs a Markov switching model with …

Persistent link: https://www.econbiz.de/10005125532

Classical and modern business cycle measurement : the European case

Krolzig, Hans-Martin; Toro, Juan - In: Spanish economic review : SER 7 (2005) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10002684456