This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...

Evaluating investments with long-term consequences using discount rates that decline with the time horizon, (Declining Discount Rates or DDRs) means that future welfare changes are of greater consequence in present value terms. Recent work in this area has turned towards operationalising the...

We estimate schedules of declining discount rates for cost benefit analysis in the UK. We highlight the importance of model selection for this task and hence for the evaluation of long-term investments, namely climate change prevention and nuclear build.

This paper analyzes the relationship between oil price shocks and the industrial production and between oil price shocks and the stock returns. The objective is to study which relationship is stronger or which variables reacts more rapidly to changes in oil price. We develop a Markov switching...

We develop a theoretical framework to quantitatively assess the general equilibrium effects and welfare implications of central bank reputation and transparency. Monetary policy alternates between periods of active inflation stabilization and periods during which the emphasis on inflation...

This study investigates whether the response of Turkey to the common shocks during financial crises has changed or not (i.e. tests for shift-contagion) relative to a wide group of other emerging countries for the period 2002:01-2011:10. The shift contagion tests indicate that the adverse effects...

Electricity spot prices are characterized by sudden large movements, followed a few days later by an equally large movement in the opposite direction. These phenomena are called spikes (upward movements) and drops (downward movements). Recent research has suggested that the dynamics of the...

Our study brings into light evidence of the important role of the Chinese renminbi in shaping the exchange rate behavior of a select group of East Asian currencies. Results obtained suggest that there is an additional dimension to the ‘fear of appreciation’ or ‘fear of...

Analytical results for reducing the parameter space dimension when computing the marginal likelihood are given for the broad class of dynamic mixture models. These results allow the integration of scale parameters out of the likelihood by Kalman filtering and Gaussian quadrature. The method is...