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Studies in Empirical Economics

Advances in Markov-Switching Models

Applications in Business Cycle Research and Finance

Editors: Hamilton, James D., Raj, Baldev (Eds.)

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eBook $84.99
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  • ISBN 978-3-642-51182-0
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Softcover $109.00
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  • ISBN 978-3-642-51184-4
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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.

Table of contents (11 chapters)

  • New directions in business cycle research and financial analysis

    Hamilton, James D. (et al.)

    Pages 3-16

  • Permanent and transitory components of recessions

    Kim, Chang-Jin (et al.)

    Pages 19-39

  • Can oil shocks explain asymmetries in the US Business Cycle?

    Clements, Michael P. (et al.)

    Pages 41-60

  • Markov switching in disaggregate unemployment rates

    Chauvet, Marcelle (et al.)

    Pages 61-88

  • A Markov-switching vector equilibrium correction model of the UK labour market

    Krolzig, Hans-Martin (et al.)

    Pages 91-112

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-3-642-51182-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.00
price for USA
  • ISBN 978-3-642-51184-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Advances in Markov-Switching Models
Book Subtitle
Applications in Business Cycle Research and Finance
Editors
  • James D. Hamilton
  • Baldev Raj
Series Title
Studies in Empirical Economics
Copyright
2002
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-51182-0
DOI
10.1007/978-3-642-51182-0
Softcover ISBN
978-3-642-51184-4
Series ISSN
1431-8830
Edition Number
1
Number of Pages
VIII, 267
Number of Illustrations and Tables
195 b/w illustrations
Topics