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Advances in Markov-Switching Models - Applications in Business Cycle Research and Finance (Paperback, Softcover reprint of the original 1st ed. 2002)
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Advances in Markov-Switching Models - Applications in Business Cycle Research and Finance (Paperback, Softcover reprint of the original 1st ed. 2002)
Series: Studies in Empirical Economics
Expected to ship within 10 - 15 working days
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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."
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