Both domestic economies and financial markets are affected by cycles that are often represented through multi-state models such as Markov Switching models. This article discusses the performances associated to the government bond, the equity and the credit cases along the business cycle, using...

We question the ability of macroeconomic data to predict risk appetite and "flight-to-quality" periods in the European credit market using a model inspired by the Markov Switching (MS) literature. This model allows for a direct mapping of exogenous variables into states probabilities. We find...

The short end of the yield curve incorporates essential pieces of information to forecast the next decisions of Central Banks, but in a biased manner. I therefore propose a new method to forecast the Fed and the ECB decision rate by correcting the swap rates for their cyclical economic premium,...