Advances in Markov-Switching Models - Applications in Business Cycle Research and Finance

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 shortrun versus longrun 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 regimeswitching behaviour. Overall, the book provides a state-of-the-art overview of methods and results for estimation and uses of Markov-switching timeseries models.

Table des matières

From the 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

Détails du produit

• Edition: Physica-Verlag
• Langues: Anglais
• Format d'édition: Livre Relié
• Sortie: 01.01.2002
• EAN: 9783790815153
• ISBN: 978-3-7908-1515-3
• Pages: 267
• Poids: 536 g
• Illustrations: w. 58 figs.
• Thèmes: Studies in Empirical Economics; Studies in Empirical Economics
• Catégorie: Sciences sociales, droit, économie > Economie > Général, dictionnaires