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Advances in Markov-Switching Models

Applications in Business Cycle Research and Finance

  • Book
  • © 2002

Overview

Editors:
  1. James D. Hamilton

    1. Department of Economics, University of California, San Diego, La Jolla, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Baldev Raj

    1. School of Business and Economics, Wilfrid Laurier University, Waterloo, Canada

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Studies in Empirical Economics (STUDEMP)

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Table of contents (11 chapters)

  1. Front Matter

    Pages I-VIII
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  2. Introduction and Overview

    1. Front Matter

      Pages 1-1
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    2. New directions in business cycle research and financial analysis

      • James D. Hamilton, Baldev Raj
      Pages 3-16

  3. The Business Cycle in the U.S.

    1. Front Matter

      Pages 17-17
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    2. Permanent and transitory components of recessions

      • Chang-Jin Kim, Christian J. Murray
      Pages 19-39

    3. Can oil shocks explain asymmetries in the US Business Cycle?

      • Michael P. Clements, Hans-Martin Krolzig
      Pages 41-60

    4. Markov switching in disaggregate unemployment rates

      • Marcelle Chauvet, Chinhui Juhn, Simon Potter
      Pages 61-88

  4. The Business Cycle in Other Countries

    1. Front Matter

      Pages 89-89
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    2. A Markov-switching vector equilibrium correction model of the UK labour market

      • Hans-Martin Krolzig, Massimiliano Marcellino, Grayham E. Mizon
      Pages 91-112

    3. Plucking models of business cycle fluctuations: Evidence from the G-7 countries

      • Terence C. Mills, Ping Wang
      Pages 113-134

  5. Financial Applications

    1. Front Matter

      Pages 135-135
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    2. Is there an asymmetric effect of monetary policy over time?

      • Sylvia Kaufmann
      Pages 137-157

    3. A regime-switching approach to the study of speculative attacks: A focus on EMS crises

      • Maria Soledad Martinez Peria
      Pages 159-194

    4. Fads or bubbles?

      • Huntley Schaller, Simon van Norden
      Pages 195-222

    5. Improving GARCH volatility forecasts with regime-switching GARCH

      • Franc Klaassen
      Pages 223-254

  6. Methodological Contribution

    1. Front Matter

      Pages 255-255
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    2. Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. output

      • Patrick J. Coe
      Pages 257-263

  7. Back Matter

    Pages 265-267
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Keywords

About this book

This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co­ movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over­ view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.

Editors and Affiliations

  • Department of Economics, University of California, San Diego, La Jolla, USA

    James D. Hamilton

  • School of Business and Economics, Wilfrid Laurier University, Waterloo, Canada

    Baldev Raj

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