Stylized facts and regime changes: are prices procyclical?

Article Abstract:

Early research on business cycles has found that nominal prices usually behave procyclically. However, this assumption has been challenged in more recent research that show prices to be mostly countercyclical. These contradictory findings may be better understood by looking at the relationship between nominal prices and output using a technique that allows for changes in regime. This would show that inflation was countercyclical during inter-war years but has been cyclical in the post-war era.

Prices, Inflation (Finance), Monetary policy, Inflation (Economics)

---

Do recessions permanently change output?

Article Abstract:

Asymmetry is a vital part of business cycle dynamics and has dominated macroeconomic research. The report analyses whether past results on gross national product fluctuation persistence is monopolised by symmetry. Two classes of models are examined. Results show that perceiving all output variations as persistent is bad technique, facilitating the need for theoretical macroeconomic reappraisal. The use of symmetry on impulse responses has resulted in erroneous measurements.

Symmetry groups

---

New index of coincident indicators: a multivariate Markov switching factor model approach

Article Abstract:

Previous research on business cycles has proposed a statistical model which represents the asymmetry between periods of recession and expansion as a discrete, two-state Markov switching process. This model has proven successful in generating recessionary and expansionary periods consistent with the country's past business cycles. It has also been used to generate other economic time series data. A revised form of the model is developed.

Models, Economic indicators, Markov processes

Similar abstracts:

• Abstracts: The effects of real exchange rate on the demand for exports: a case of Malaysian primary commodities. Malaysia's public enterprises: a performance evaluation
• Abstracts: Absenteeism: a comparison of incentives in alternative organizations. Decomposing the dividend
• Abstracts: Profit margins and the business cycle: evidence from UK manufacturing firms. The profitability of innovating firms
• Abstracts: Adversarial and inquisitorial procedures in arbitration. Freedom, opportunity and uncertainty: a logical approach
• Abstracts: Gains in bank mergers: evidence from the bond markets. Founding family ownership and the agency cost of debt. Seniority and maturity of debt contracts

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.