Numerous papers have tried to understand housing’s role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that the relation between building permits and GDP is regime-dependent....

This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identi cation scheme. Identification of fundamental and nonfundamental shocks is shown to be...

This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results conrm that the recent nancial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the nancial...

There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. We find strong evidence of explosive behavior in the nominal Sterling-dollar...