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Advances in Markov-Switching Models

Applications in Business Cycle Research and Finance

  • James D. Hamilton
  • Baldev Raj

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

Table of contents

  1. Front Matter
    Pages I-VIII
  2. Introduction and Overview

    1. Front Matter
      Pages 1-1
    2. James D. Hamilton, Baldev Raj
      Pages 3-16
  3. The Business Cycle in the U.S.

    1. Front Matter
      Pages 17-17
    2. Chang-Jin Kim, Christian J. Murray
      Pages 19-39
    3. Michael P. Clements, Hans-Martin Krolzig
      Pages 41-60
    4. Marcelle Chauvet, Chinhui Juhn, Simon Potter
      Pages 61-88
  4. The Business Cycle in Other Countries

    1. Front Matter
      Pages 89-89
    2. Hans-Martin Krolzig, Massimiliano Marcellino, Grayham E. Mizon
      Pages 91-112
  5. Financial Applications

    1. Front Matter
      Pages 135-135
    2. Huntley Schaller, Simon van Norden
      Pages 195-222
  6. Methodological Contribution

  7. Back Matter
    Pages 265-267

About this book

Introduction

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.

Keywords

Business cycles Finance Markov-switching econometrics forecasting regime-switching

Editors and affiliations

  • James D. Hamilton
    • 1
  • Baldev Raj
    • 2
  1. 1.Department of EconomicsUniversity of California, San DiegoLa JollaUSA
  2. 2.School of Business and EconomicsWilfrid Laurier UniversityWaterlooCanada

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-51182-0
  • Copyright Information Springer-Verlag Berlin Heidelberg 2002
  • Publisher Name Physica, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-51184-4
  • Online ISBN 978-3-642-51182-0
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking