Nonlinear Time Series Analysis of Business Cycles

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Emerald Group Publishing, 2006 - Business & Economics - 435 pages
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The business cycle has long been the focus of empirical economic research. Until recently statistical analysis of macroeconomic fluctuations was dominated by linear time series methods. Over the past 15 years, however, economists have increasingly applied tractable parametric nonlinear time series models to business cycle data; most prominent in this set of models are the classes of Threshold AutoRegressive (TAR) models, Markov-Switching AutoRegressive (MSAR) models, and Smooth Transition AutoRegressive (STAR) models. In doing so, several important questions have been addressed in the literature, including:



1. Do out-of-sample (point, interval, density, and turning point) forecasts obtained with nonlinear time series models dominate those generated with linear models?

2. How should business cycles be dated and measured?

3. What is the response of output and employment to oil-price and monetary shocks?

4. How does monetary policy respond to asymmetries over the business cycle?

5. Are business cycles due more to permanent or to transitory negative shocks?

6. Is the business cycle asymmetric, and does it matter?



Accordingly, we have compiled and edited a book for the Elsevier economics program comprising 15 original papers on these and related themes.

*Contributions to Economic Analysis was established in 1952
*The series purpose is to stimulate the international exchange of scientific information
*The series includes books from all areas of macroeconomics and microeconomics

 

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Contents

body
1
Forecasting US Recession Probabilities and Output Growth
55
3 The Importance of Nonlinearity in Reproducing Business Cycle Features
75
4 The Vector Floor and Ceiling Model
97
5 A New Framework to Analyze Business Cycle Synchronization
133
6 Nonlinearity and Instability in the Euro Area
151
7 Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series
175
Evidence from US Economic Time Series
199
10 Random Walk Smooth Transition Autoregressive Models
247
11 Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US UK and Germany
283
Some New Evidence for the EuroArea
311
Norway 18302003
333
14 A Predictive Comparison of Some Simple Long and Short Memory Models of Daily US Stock Returns with Emphasis on Business Cycle Effects
379
15 Nonlinear Modeling of the Changing Lag Structure in US Housing Construction
407
Subject Index
431
Copyright

9 Modeling Inflation and Money Demand Using a FourierSeries Approximation
221

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