Search Results - subject:"Switching Models"

Prediction of Business Cycle Turning Points in Germany

Fritsche, Ulrich; Kuzin, Vladimir - In: Journal of Economics and Statistics (Jahrbuecher fuer … 225 (2005) 1, pp. 22-43

Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that …

Persistent link: https://www.econbiz.de/10005668440

Can the SupLR test discriminate between different switching

Lanouar, CHARFEDDINE - EconWPA - 2005

In recent years two classes of switching models have been proposed, the Markov switching models, Hamilton (1989) and … motivated by the fact that the majority of authors, in applications, use switching models without any statistical justification …. We show that when the null hypothesis is rejected it appears that different switching models are significant. Then, using …

Persistent link: https://www.econbiz.de/10005556594

Keynesian Dynamics and the Wage–Price Spiral: Identifying Downward Rigidities

Chen, Pu; Flaschel, Peter - In: Computational Economics 25 (2005) 1, pp. 115-142

We develop a constrained bivariate switching model to explore empirically the behavior of wage and price Phillips-curves for high- and low-inflation regimes. Using this switching regression technique with a structural simultaneous equations model of Phillips curves, we identify significant lower...

Persistent link: https://www.econbiz.de/10005701664

Dynamic bond portfolio choice in a model with Gaussian diffusion regimes

Liborio, Joao - In: The European Journal of Finance 11 (2005) 3, pp. 259-270

This paper studies bond prices, intertemporal consumption and portfolio choice in a simple two-factor continuous-time regime-switching term structure model. The real interest rate and the expected inflation are modelled as an “extended” Ornstein-Uhlenbeck process, whose mean and variance...

Persistent link: https://www.econbiz.de/10005268703

Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles

Bonomo, Marco; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1994

In this paper, we match both the first and the second moments of the equity premium and the risk-free rate by endowing the agents in the economy with disappointment aversion preferences and by making the joint process of consumption and dividends follow a Hamilton's (1989) Markov switching...

Persistent link: https://www.econbiz.de/10005627173

Spillovers across High Yield Markets

Moschitz, Julius - EconWPA - 2004

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

Persistent link: https://www.econbiz.de/10005413232

Do Markov-switching models capture nonlinearities in the data?

Breunig, Robert V; Pagan, Adrian R - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 401-407

Markov-switching models have become popular alternatives to linear autoregressive models. Many papers which estimate …

Persistent link: https://www.econbiz.de/10010749245

Threshold Cointegration between Stock Returns : An application of STECM Models

Fredj, Jawadi; Yousra, Koubaa - EconWPA - 2004

The aim of this paper is to study the efficient capital market hypothesis by using recent developments in nonlinear econometrics. In such a context, we estimate a Smooth Transition Error Correction Model (STECM). We introduce the DowJones as an explanatory variable of the dynamics of the other...

Persistent link: https://www.econbiz.de/10005062563

Markov Switching Models for GDP Growth in a Small Open Economy: The New Zealand Experience

Buckle, Robert A.; Haugh, David; Thomson, Peter - In: Journal of Business Cycle Measurement and Analysis 2004 (2004) 2, pp. 227-257

This paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to … parsimonious, four state, Markov switching models which encompass a wide range of stationary time series behaviour from linear AR(1 …

Persistent link: https://www.econbiz.de/10008492398

Confidence Building on Euro Conversion: Theory and Evidence from Currency Options

Driessen, Joost; Perotti, Enrico C - C.E.P.R. Discussion Papers - 2004

Using a new dataset of currency option prices, we study the evolution of investor confidence in 1992-98 over the chance of individual currencies to converge to the euro. Convergence risk, which may reflect uncertainty over policy commitment as well as exogenous fundamentals, induces a level of...

Persistent link: https://www.econbiz.de/10005124133