Advances in Markov-switching models : applications in business cycle research and finance
Author(s)
Bibliographic Information
Advances in Markov-switching models : applications in business cycle research and finance
（Studies in empirical economics）
Physica-Verlag, c2002
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Note
"First published in "Empirical Economics", Volume 27, issue 2, 2002" -- t.p. verso
Includes bibliographical references
Description and Table of Contents
Description
This book surveys new advances in Markov-switching models with applications to business cycle research and finance. The extensive editors' 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, co-movements among key variables, and the short-run versus long-run consequences of an economic recession. The book also features 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 overview of methods and results for estimation and uses of Markov-switching time-series models.
Table of Contents
Part I: Introduction and Overview * Part II: The Business Cycle in the U.S * Part III: The Business Cycle in Other Countries * Part IV: Financial Applications * Part V: Methodological Contribution.
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