ISBN: 3790815152
TITLE: Advances in Markov-Switching Models
AUTHOR: Hamilton, Raj
TOC:

I Introduction and Overview
J. D. Hamilton and B. Raj
New directions in business cycle research and financial analysis 3
II The Business Cycle in the U.S.
C.-J. Kim and C. J. Murray
Permanent and transitory components of recessions 19
M. P. Clements and H. M. Krolzig
Can oil shocks explain asymmetries in the US Business Cycle? 41
M. Chauvet, C. Juhn, and S. Potter
Markov switching in disaggregate unemployment rates 61
III The Business Cycle in Other Countries
H. M. Krolzig, M. Marcellino, and G.E. Mizon
A Markov-switching vector equilibrium correction model of the UK labour market 91
T. C. Mills and P. Wang
Plucking models of business cycle fluctuations: Evidente from the G-7 countries 113
IV Financial Applications
S. Kaufmann
Is there an asymmetric effect of monetary policy over time?
A Bayesian analysis using Austrian data 137
M. S. Martinez Peria
A regime-switching approach to the study of speculative attacks: A focus on EMS crises 159
H. Schaller and S. van Norden
Fads or bubbles? 195
F. Klaassen
Improving GARCH volatility forecasts with regime-switching GARCH 223
V Methodological Contribution
P. J. Coe
Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. Output 257
List of Referees 265
END
