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Martin Sola

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1999. "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 143-154, March-Apr.

    Mentioned in:

    1. Detecting periodically collapsing bubbles: a Markov-switching unit root test (Journal of Applied Econometrics 1999) in ReplicationWiki ()
  2. Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1997. "Cointegration and Changes in Regime: The Japanese Consumption Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 151-168, March-Apr.

    Mentioned in:

    1. COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION (Journal of Applied Econometrics 1997) in ReplicationWiki ()

Working papers

  1. Martin Sola, 2023. "Rational Bubbles: Too Many to be True?," Working Papers 240, Red Nacional de Investigadores en Economía (RedNIE).

    Cited by:

    1. Nicolas Cofre & Magdalena Mosionek-Schweda, 2023. "A simulated electronic market with speculative behaviour and bubble formation," Papers 2311.12247, arXiv.org.

  2. Constantino Hevia & Martin Sola, 2018. "Bond risk premia and restrictions on risk prices," Department of Economics Working Papers 2018_03, Universidad Torcuato Di Tella.

    Cited by:

    1. Yiu-Kuen Tse, 2019. "Editorial for the Special Issue on Financial Econometrics," JRFM, MDPI, vol. 12(3), pages 1-2, September.

  3. Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.

    Cited by:

    1. Anthony Garratt & Shaun P. Vahey & Ynuyi Zhang, 2018. "Real-time Forecast Combinations for the Oil Price," National Institute of Economic and Social Research (NIESR) Discussion Papers 494, National Institute of Economic and Social Research.
    2. Piergiorgio Alessandri & Andrea Gazzani, 2023. "Natural gas and the macroeconomy: not all energy shocks are alike," Temi di discussione (Economic working papers) 1428, Bank of Italy, Economic Research and International Relations Area.
    3. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    4. Han Jun S. & Kordzakhia Nino & Shevchenko Pavel V. & Trück Stefan, 2022. "On correlated measurement errors in the Schwartz–Smith two-factor model," Dependence Modeling, De Gruyter, vol. 10(1), pages 108-122, January.
    5. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
    6. Spencer, Simon & Bredin, Don, 2019. "Agreement matters: OPEC announcement effects on WTI term structure," Energy Economics, Elsevier, vol. 80(C), pages 589-609.
    7. Dominik Boos, 2024. "Risky times: Seasonality and event risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 767-783, May.
    8. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    9. Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.

  4. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Papers 1612.04932, arXiv.org, revised Dec 2021.

    Cited by:

    1. Hiroyuki Okawa, 2023. "Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics," JRFM, MDPI, vol. 16(2), pages 1-20, January.
    2. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
    3. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2023. "A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2023_01, Universidad Torcuato Di Tella.
    4. Chaojun Li & Yan Liu, 2020. "Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities," Papers 2010.04930, arXiv.org, revised Dec 2021.
    5. Jochmans, Koen & Higgins, Ayden, 2022. "Learning Markov Processes with Latent Variables From Longitudinal Data," TSE Working Papers 22-1366, Toulouse School of Economics (TSE).

  5. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.

    Cited by:

    1. Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
    2. Feng Lingbing & Shi Yanlin, 2020. "Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-27, February.
    3. Yonekura, Shouto & Beskos, Alexandros & Singh, Sumeetpal S., 2021. "Asymptotic analysis of model selection criteria for general hidden Markov models," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 164-191.

  6. Sola, Martín & González Rozada, Martín, 2014. "Towards a "New" Inflation Targeting Framework: The Case of Uruguay," IDB Publications (Working Papers) 6335, Inter-American Development Bank.

    Cited by:

    1. Pierre-Richard Agénor & Koray Alper & Luiz Pereira da Silva, 2015. "External Shocks, Financial Volatility and Reserve Requirements in an Open Economy," Working Papers Series 396, Central Bank of Brazil, Research Department.
    2. Primus, Keyra, 2017. "Excess reserves, monetary policy and financial volatility," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 153-168.
    3. Cantú, Carlos & Gondo, Rocio & Martínez, Berenice, 2019. "Reserve requirements as a financial stability instrument," Working Papers 2019-014, Banco Central de Reserva del Perú.
    4. Santiago Camara, 2022. "TANK meets Diaz-Alejandro: Household heterogeneity, non-homothetic preferences & policy design," Papers 2201.02916, arXiv.org.

  7. Matias Escudero & Martin Gonzalez-Rozada & Martin Sola, 2014. "Towards a “New” Inflation Targeting Framework: The Case of Uruguay," Department of Economics Working Papers wp201401, Universidad Torcuato Di Tella.

    Cited by:

    1. Pierre-Richard Agénor & Koray Alper & Luiz Pereira da Silva, 2015. "External Shocks, Financial Volatility and Reserve Requirements in an Open Economy," Working Papers Series 396, Central Bank of Brazil, Research Department.
    2. Primus, Keyra, 2017. "Excess reserves, monetary policy and financial volatility," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 153-168.
    3. Santiago Camara, 2022. "TANK meets Diaz-Alejandro: Household heterogeneity, non-homothetic preferences & policy design," Papers 2201.02916, arXiv.org.

  8. Constantino Hevia & Martin Gonzalez-Rozada & Martin Sola & Fabio Spagnolo, 2014. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," BCAM Working Papers 1403, Birkbeck Centre for Applied Macroeconomics.

    Cited by:

    1. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    2. Levant, Jared & Ma, Jun, 2017. "A dynamic Nelson-Siegel yield curve model with Markov switching," Economic Modelling, Elsevier, vol. 67(C), pages 73-87.
    3. Junko Koeda & Atushi Sekine, 2021. "Nelson-Siegel Decay Factor and Term Premia in Japan," Working Papers 2106, Waseda University, Faculty of Political Science and Economics.
    4. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    5. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
    6. Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
    7. Gordon H. Dash & Nina Kajiji & Domenic Vonella, 2018. "The role of supervised learning in the decision process to fair trade US municipal debt," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 139-168, June.
    8. Luo, Deqing & Pang, Tao & Xu, Jiawen, 2021. "Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters," Economic Modelling, Elsevier, vol. 94(C), pages 340-350.
    9. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Fausto Vieira & Fernando Chague, Marcelo Fernandes, 2016. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Working Papers, Department of Economics 2016_31, University of São Paulo (FEA-USP).
    11. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    12. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    13. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
    14. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    15. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2023. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 69-87, January.

  9. Matias Escudero & Martin Gonzalez-Rozada & Martin Sola, 2014. "Towards a “New” Inflation Targeting Framework: The Case of Uruguay," Department of Economics Working Papers 2014-01, Universidad Torcuato Di Tella.

    Cited by:

    1. Pierre-Richard Agénor & Koray Alper & Luiz Pereira da Silva, 2015. "External Shocks, Financial Volatility and Reserve Requirements in an Open Economy," Working Papers Series 396, Central Bank of Brazil, Research Department.
    2. Primus, Keyra, 2017. "Excess reserves, monetary policy and financial volatility," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 153-168.
    3. Santiago Camara, 2022. "TANK meets Diaz-Alejandro: Household heterogeneity, non-homothetic preferences & policy design," Papers 2201.02916, arXiv.org.

  10. Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.

    Cited by:

    1. Khayat, Guillaume A., 2018. "The impact of setting negative policy rates on banking flows and exchange rates," Economic Modelling, Elsevier, vol. 68(C), pages 1-10.
    2. Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
    3. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
    4. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.
    5. Marie Bessec, 2019. "Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data," Post-Print hal-02181552, HAL.
    6. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.

  11. Michael J. Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2010. "A Time-Varying Threshold STAR Model with Applications," Working Papers 2010-029, Federal Reserve Bank of St. Louis, revised 10 Aug 2022.

    Cited by:

    1. Zhu, Yanli & Chen, Haiqiang, 2017. "The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 522-535.
    2. Lixiong Yang & Chingnun Lee & I‐Po Chen, 2021. "Threshold model with a time‐varying threshold based on Fourier approximation," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 406-430, July.

  12. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010. "Multivariate Contemporaneous-Threshold Autoregressive Models," UFAE and IAE Working Papers 817.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2018. "State-Dependent Transmission of Monetary Policy in the Euro Area," CESifo Working Paper Series 7074, CESifo.
    2. MeiChi Huang, 2017. "Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals," International Finance, Wiley Blackwell, vol. 20(1), pages 64-91, March.
    3. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(1), pages 41-57, March.
    4. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
    5. Leena Kalliovirta & Mika Meitz & Pentti Saikkonen, 2015. "A Gaussian Mixture Autoregressive Model for Univariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 247-266, March.
    6. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
    7. Kassouri, Yacouba & Altıntaş, Halil, 2020. "Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira," Research in International Business and Finance, Elsevier, vol. 52(C).
    8. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella.
    9. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.
    10. Mika Meitz & Pentti Saikkonen, 2017. "Testing for observation-dependent regime switching in mixture autoregressive models," Papers 1711.03959, arXiv.org.
    11. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    12. Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
    13. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2009. "Selecting nonlinear time series models using information criteria," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 369-394, July.
    14. Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
    15. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.

  13. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010. "State-Dependent Threshold STAR Models," UFAE and IAE Working Papers 818.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Michael Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2022. "A Time-Varying Threshold STAR Model with Applications," Department of Economics Working Papers 2022_04, Universidad Torcuato Di Tella.

  14. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella.

    Cited by:

    1. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.

  15. John Driffill & Martin Sola & Turalay Kenc, 2009. "Real Options with Priced Regime-Switching Risk," Department of Economics Working Papers 2009-09, Universidad Torcuato Di Tella.

    Cited by:

    1. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
    2. Armerin, Fredrik & Gunnelin, Åke, 2019. "Competitive investment with varying risk premia," Working Paper Series 19/12, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    3. Makoto Goto & Katsumasa Nishide & Ryuta Takashima, 2013. "Irreversible Investment under Competition with a Markov Switching Regime," KIER Working Papers 861, Kyoto University, Institute of Economic Research.
    4. Goto, Makoto & Nishide, Katsumasa & Takashima, Ryuta, 2017. "Leaders, followers, and equity risk premiums in booms and busts," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 207-220.

  16. Michael J. Dueker & Martin Sola, 2008. "Multivariate Markov switching with weighted regime determination: giving France more weight than Finland," Working Papers 2008-001, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Catherine Doz & Anna Petronevich, 2016. "Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 481-538, Emerald Group Publishing Limited.

  17. Guido Sandleris, 2008. "Sovereign Defaults: Information, Investment and Credit," Business School Working Papers 2008-04, Universidad Torcuato Di Tella.

    Cited by:

    1. Stangebye, Zachary R., 2020. "Beliefs and long-maturity sovereign debt," Journal of International Economics, Elsevier, vol. 127(C).
    2. Ugo Panizza & Federico Sturzenegger & Jeromin Zettelmeyer, 2010. "International Government Debt," UNCTAD Discussion Papers 199, United Nations Conference on Trade and Development.
    3. Luis A. V. Catao & Ana Fostel & Sandeep Kapur, 2008. "Persistent Gaps and Default Traps," Birkbeck Working Papers in Economics and Finance 0803, Birkbeck, Department of Economics, Mathematics & Statistics.
    4. Mr. Udaibir S Das & Mr. Michael G. Papaioannou & Christoph Trebesch, 2010. "Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets," IMF Working Papers 2010/010, International Monetary Fund.
    5. R. Gaston Gelos, Ratna Sahay and Guido Sandleris, 2008. "Sovereign Borrowing by Developing Countries: What Determines Market Access?," Business School Working Papers 2008-02, Universidad Torcuato Di Tella.
    6. Ugo Panizza & Federico Sturzenegger & Jeromin Zettelmeyer, 2009. "The Economics and Law of Sovereign Debt and Default," Journal of Economic Literature, American Economic Association, vol. 47(3), pages 651-698, September.
    7. Escobar, Juan F. & Llanes, Gastón, 2018. "Cooperation dynamics in repeated games of adverse selection," Journal of Economic Theory, Elsevier, vol. 176(C), pages 408-443.
    8. ,, 2008. "Debt Maturity without Commitment," CEPR Discussion Papers 7093, C.E.P.R. Discussion Papers.
    9. Acharya, Viral & Parlatore Siritto, Cecilia & Sundaresan, Suresh, 2022. "Financing Infrastructure in the Shadow of Expropriation," CEPR Discussion Papers 15288, C.E.P.R. Discussion Papers.
    10. Grace Weishi Gu & Zachary R. Stangebye, 2023. "Costly Information And Sovereign Risk," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1397-1429, November.
    11. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2016. "The relation between sovereign credit rating revisions and economic growth," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 90-100.
    12. Dirk Niepelt, 2009. "Sovereign Debt Maturity without Commitment," 2009 Meeting Papers 231, Society for Economic Dynamics.
    13. Karayalcin,Ali Cem & Onder,Harun, 2014. "Incomplete integration and contagion of debt distress in economic unions," Policy Research Working Paper Series 7130, The World Bank.
    14. Perez, Diego J., 2017. "Sovereign debt maturity structure under asymmetric information," Journal of International Economics, Elsevier, vol. 108(C), pages 243-259.
    15. Aitor Erce, 2012. "Selective sovereign defaults," Globalization Institute Working Papers 127, Federal Reserve Bank of Dallas.
    16. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
    17. Cosmin Ilut & Peter Benczur, 2010. "Evidence for Relational Contracts in Sovereign Bank Lending," 2010 Meeting Papers 91, Society for Economic Dynamics.
    18. Filippo Brutti & Philip Sauré, 2016. "Repatriation Of Debt In The Euro Crisis," Journal of the European Economic Association, European Economic Association, vol. 14(1), pages 145-174, February.
    19. Manuel Amador & Christopher Phelan, 2018. "Reputation and Sovereign Default," NBER Working Papers 24682, National Bureau of Economic Research, Inc.
    20. Toan Phan, 2016. "Information, Insurance and the Sustainability of Sovereign Debt," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 93-108, October.
    21. Juan Carlos Hatchondo & Leonardo Martinez, 2009. "Long-duration bonds and sovereign defaults," Working Paper 08-02, Federal Reserve Bank of Richmond.
    22. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2018. "The Legacy and the Tyranny of Time: Exit and Re‐Entry of Sovereigns to International Capital Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1969-1994, December.
    23. Carmen M. Reinhart & Franziska L. Ohnsorge & Kenneth S. Rogoff & M. Ayhan Kose, 2022. "The Aftermath of Debt Surges," Annual Review of Economics, Annual Reviews, vol. 14(1), pages 637-663, August.
    24. Stähler, Nikolai, 2011. "Recent developments in quantitative models of sovereign default," Discussion Paper Series 1: Economic Studies 2011,17, Deutsche Bundesbank.
    25. Konstantin Egorov & Michal Fabinger, 2016. "Reputational Effects in Sovereign Default," CIRJE F-Series CIRJE-F-999, CIRJE, Faculty of Economics, University of Tokyo.
    26. Aguiar, Mark & Amador, Manuel, 2014. "Sovereign Debt," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 647-687, Elsevier.
    27. Guido Sandleris, 2014. "Sovereign Defaults, Credit to the Private Sector, and Domestic Credit Market Institutions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 321-345, March.
    28. Gilles Stoltz & Tomasz Michalski, 2010. "Do countries falsify economic date strategically? Some evidence that they do," Working Papers hal-00579319, HAL.
    29. Guido Sandleris, 2010. "Sovereign Defaults, Domestic Credit Market Institutions and Credit to the Private Sector," Business School Working Papers 2010-01, Universidad Torcuato Di Tella.
    30. Guido Sandleris & Horacio Sapriza & Filippo Taddei, 2009. "Indexed Sovereign Debt: An Applied Framework," Business School Working Papers 2009-01, Universidad Torcuato Di Tella.
    31. Fernando Broner & Alberto Martin & Jaume Ventura, 2006. "Sovereign risk and secondary markets," Economics Working Papers 998, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2009.
    32. Victor Filipe Martins da Rocha & Yiannis Vailakis, 2014. "Self-enforcing Debt, Reputation, and the Role of Interest Rates," Working Papers hal-01097114, HAL.
    33. Tomasz Michalski & Gilles Stoltz, 2013. "Do countries falsify economic data strategically? Some evidence that they might," Post-Print halshs-00482106, HAL.
    34. Juan J. Cruces & Christoph Trebesch, 2011. "Sovereign Defaults: The Price of Haircuts," CESifo Working Paper Series 3604, CESifo.
    35. Filippo Brutti, 2010. "Legal enforcement, public supply of liquidity and sovereign risk," IEW - Working Papers 464, Institute for Empirical Research in Economics - University of Zurich.
    36. Silvia Marchesi & Tania Masi, 2020. "Life after default. Private and Official Deals," Working Papers 431, University of Milano-Bicocca, Department of Economics, revised Feb 2020.
    37. Marco Bassetto & Carlo Galli, 2017. "Is Inflation Default? The Role of Information in Debt Crises," Discussion Papers 1715, Centre for Macroeconomics (CFM).
    38. Silvia Marchesi, 2016. "Life after default? Private vs. official sovereign debt restructurings," Development Working Papers 398, Centro Studi Luca d'Agliano, University of Milano, revised 26 Aug 2016.
    39. Carlos Arteta & Galina Hale, 2006. "Sovereign debt crises and credit to the private sector," Working Paper Series 2006-21, Federal Reserve Bank of San Francisco.
    40. Rohan Pitchford & Mark L. J. Wright, 2013. "On the contribution of game theory to the study of sovereign debt and default," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 29(4), pages 649-667, WINTER.
    41. Filippo Brutti & Philip U. Sauré, 2014. "Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory," Working Papers 2014-03, Swiss National Bank.
    42. Hyungseok Joo & Yoon-Jin Lee & Young-Ro Yoon, 2022. "Effects of Information Quality on Signaling through Sovereign Debt Issuance," School of Economics Discussion Papers 0622, School of Economics, University of Surrey.
    43. Anna Gibert, 2016. "The Signaling Role of Fiscal Austerity," Discussion Papers of DIW Berlin 1623, DIW Berlin, German Institute for Economic Research.
    44. Trebesch, Christoph & Zabel, Michael, 2017. "The output costs of hard and soft sovereign default," Munich Reprints in Economics 55046, University of Munich, Department of Economics.
    45. Jose Vicente Martinez and Guido Sandleris, 2008. "Is it Punishment? Sovereign Defaults and the Decline in Trade," Business School Working Papers 2008-01, Universidad Torcuato Di Tella.
    46. Phan, Toan, 2017. "A model of sovereign debt with private information," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 1-17.
    47. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    48. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2007. "The economics of sovereign defaults," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 93(Spr), pages 163-187.
    49. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2008. "Heterogeneous borrowers in quantitative models of sovereign default," Working Paper 07-01, Federal Reserve Bank of Richmond.
    50. Andrew K. Rose & Mark M. Spiegel, 2006. "Non-economic engagement and international exchange: the case of environmental treaties," Working Paper Series 2006-33, Federal Reserve Bank of San Francisco.
    51. Arellano, Cristina, 2008. "Default risk and income fluctuations in emerging economies," MPRA Paper 7867, University Library of Munich, Germany.
    52. Andreasen, Eugenia & Sandleris, Guido & Van der Ghote, Alejandro, 2019. "The political economy of sovereign defaults," Journal of Monetary Economics, Elsevier, vol. 104(C), pages 23-36.
    53. Phan, Toan, 2017. "Sovereign debt signals," Journal of International Economics, Elsevier, vol. 104(C), pages 157-165.
    54. Christiaan Bochove, 2014. "External debt and commitment mechanisms: Danish borrowing in Holland, 1763–1825," Economic History Review, Economic History Society, vol. 67(3), pages 652-677, August.
    55. Fløgstad, Cathrin N. & Nordtveit, Ingvild, 2014. "Lending to developing countries: How do official creditors respond to sovereign defaults?," Working Papers in Economics 01/14, University of Bergen, Department of Economics.
    56. Federico Sturzenegger and Jeromin Zettelmeyer, 2006. "Has the Legal Threat to Sovereign Debt Restructuring Become Real?," Business School Working Papers legalthreat, Universidad Torcuato Di Tella.
    57. Gibert, Anna, 2022. "Signalling creditworthiness with fiscal austerity," European Economic Review, Elsevier, vol. 144(C).
    58. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2013. "How do sovereign credit rating changes affect private investment?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4820-4833.
    59. Andreasen, Eugenia, 2015. "Sovereign default, enforcement and the private cost of capital," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 411-427.
    60. Guido Sandleris, 2016. "The Costs of Sovereign Default: Theory and Empirical Evidence," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 1-27, April.
    61. Guido Sandleris & Filippo Taddei, 2007. "Indexed Sovereign Debt: a Survey and a Framework of Analysis," Carlo Alberto Notebooks 66, Collegio Carlo Alberto.
    62. M. Hashem Pesaran & TengTeng Xu, 2013. "Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults," Staff Working Papers 13-19, Bank of Canada.
    63. Ağca, Şenay & Celasun, Oya, 2012. "Sovereign debt and corporate borrowing costs in emerging markets," Journal of International Economics, Elsevier, vol. 88(1), pages 198-208.
    64. Arogundade, Sodiq & Biyase, Mduduzi & Eita, Joel Hinaunye, 2022. "Do Sovereign Credit Ratings Matter for Foreign Direct Investment: Evidence from Sub-Sahara African Countries," MPRA Paper 115404, University Library of Munich, Germany.
    65. Aitor Erce Domiguez, 2010. "Debtor Discrimination During Sovereign Debt Restructurings," 2010 Meeting Papers 1324, Society for Economic Dynamics.
    66. Luis Catão & Ana Fostel & Romain Ranciere, 2014. "Fiscal Discoveries and Yield Decouplings," Working Papers 2014-21, The George Washington University, Institute for International Economic Policy.
    67. Romain Ranciere & Ana Fostel & Luis Catao, 2011. "Sudden Stops and Sovereign Defaults," 2011 Meeting Papers 1359, Society for Economic Dynamics.
    68. Kose,Ayhan & Ohnsorge,Franziska Lieselotte & Sugawara,Naotaka, 2020. "Benefits and Costs of Debt : The Dose Makes the Poison," Policy Research Working Paper Series 9166, The World Bank.
    69. Silvia, Marchesi, 2015. "The cost of default: private vs. official sovereign debt restructurings," Working Papers 320, University of Milano-Bicocca, Department of Economics, revised 28 Dec 2015.
    70. Bulent Guler & Yasin Kursat Onder & Temel Taskin, 2022. "Asymmetric Information and Sovereign Debt Disclosure," CAEPR Working Papers 2022-004 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    71. Chen, Hsien-Yi & Chen, Sheng-Syan, 2018. "Quality of government institutions and spreads on sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 82-95.
    72. Nathan M. Jensen & Noel P. Johnston & Chia-yi Lee & Hadi Sahin, 2020. "Crisis and contract breach: The domestic and international determinants of expropriation," The Review of International Organizations, Springer, vol. 15(4), pages 869-898, October.
    73. Brutti, Filippo, 2011. "Sovereign defaults and liquidity crises," Journal of International Economics, Elsevier, vol. 84(1), pages 65-72, May.
    74. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.
    75. Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies: How Much is theprivate Sector Affected?," IMF Working Papers 2009/029, International Monetary Fund.
    76. Egemen Eren & Semyon Malamud & Haonan Zhou, 2023. "Signaling with debt currency choice," BIS Working Papers 1067, Bank for International Settlements.
    77. Christoph Trebesch & Mr. Michael G. Papaioannou & Mr. Udaibir S Das, 2012. "Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts," IMF Working Papers 2012/203, International Monetary Fund.
    78. Silvia Marchesi & Tania Masi, 2019. "Sovereign risk after sovereign restructuring. Private and official default," Working Papers 423, University of Milano-Bicocca, Department of Economics, revised Nov 2019.
    79. Mark Aguiar, 2011. "Comment on "On Graduation from Default, Inflation and Banking Crises: Elusive or Illusion?"," NBER Chapters, in: NBER Macroeconomics Annual 2010, volume 25, pages 37-46, National Bureau of Economic Research, Inc.
    80. Benedikt Mihm, 2016. "Mispricing of Risk in Sovereign Bond Markets with Asymmetric Information," German Economic Review, Verein für Socialpolitik, vol. 17(4), pages 491-511, November.
    81. Mihm, Benedikt, 2018. "Biased signaling and yardstick comparisons in a sovereign debt market," Journal of Economic Behavior & Organization, Elsevier, vol. 152(C), pages 36-46.
    82. Schwarcz Steven L., 2015. "Sovereign Debt Restructuring: A Model-Law Approach," Journal of Globalization and Development, De Gruyter, vol. 6(2), pages 343-385, December.

  18. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
    2. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(1), pages 41-57, March.
    3. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
    4. Jiayue Zhang & Fukang Zhu & Huaping Chen, 2023. "Two-Threshold-Variable Integer-Valued Autoregressive Model," Mathematics, MDPI, vol. 11(16), pages 1-20, August.
    5. Terence T.L. Chong & Isabel K. Yan, 2018. "Forecasting currency crises with threshold models," International Economics, CEPII research center, issue 156, pages 156-174.
    6. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
    7. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Leena Kalliovirta & Mika Meitz & Pentti Saikkonen, 2015. "A Gaussian Mixture Autoregressive Model for Univariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 247-266, March.
    9. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 315-334, August.
    10. Paulo M.M. Rodrigues & Nazarii Salish, 2011. "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers w201128, Banco de Portugal, Economics and Research Department.
    11. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis.
    12. Emilio Zanetti Chini, 2016. "Generalizing smooth transition autoregressions," DEM Working Papers Series 114, University of Pavia, Department of Economics and Management.
    13. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella.
    14. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.
    15. Haiqiang Chen & Terence Chong & Jushan Bai, 2012. "Theory and Applications of TAR Model with Two Threshold Variables," Econometric Reviews, Taylor & Francis Journals, vol. 31(2), pages 142-170.
    16. Chong Terence T. L. & He Qing & Hinich Melvin J, 2008. "The Nonlinear Dynamics of Foreign Reserves and Currency Crises," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-18, December.
    17. Mika Meitz & Pentti Saikkonen, 2017. "Testing for observation-dependent regime switching in mixture autoregressive models," Papers 1711.03959, arXiv.org.
    18. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2009. "Selecting nonlinear time series models using information criteria," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 369-394, July.
    19. Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
    20. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
    21. Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.

  19. John Driffill (Birkbeck College) & Martin Sola (UTDT), 2005. "Target Zones for Exchange Rates and Policy Changes," Department of Economics Working Papers 2005-03, Universidad Torcuato Di Tella.

    Cited by:

    1. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
    2. Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series 2080, CESifo.
    3. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF, Faculty of Economics, University of Coimbra.

  20. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.

    Cited by:

    1. Choi Seungmoon, 2009. "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-41, March.
    2. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.

  21. Kenc, Turalay & John Driffill & Martin Sola, 2003. "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003 119, Royal Economic Society.

    Cited by:

    1. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    2. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
    3. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
    4. Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
    5. Choi Seungmoon, 2009. "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-41, March.
    6. Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.

  22. Ravn, Morten & Sola, Martin & Psaradakis, Zacharias, 2003. "Markov Switching Causality and the Money-Output Relationship," CEPR Discussion Papers 3803, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yunus Aksoy & Rubens Morita & Zacharias Psaradakis, 2019. "The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes," CESifo Working Paper Series 8035, CESifo.
    2. Cai, Charlie X. & Mobarek, Asma & Zhang, Qi, 2017. "International stock market leadership and its determinants," Journal of Financial Stability, Elsevier, vol. 33(C), pages 150-162.
    3. Tae-Hwy Lee & Weiping Yang, 2012. "Money–Income Granger-Causality in Quantiles," Advances in Econometrics, in: 30th Anniversary Edition, pages 385-409, Emerald Group Publishing Limited.
    4. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
    5. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    6. Monica Billio & Silvio Di Sanzo, 2015. "Granger-causality in Markov switching models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 956-966, May.
    7. Serwa, Dobromil, 2010. "Larger crises cost more: Impact of banking sector instability on output growth," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1463-1481, December.
    8. Bildirici, Melike, 2012. "Economic Growth and Electricity Consumption in Africa and Asia: MS-VAR and MS-GRANGER Causality Analysis," MPRA Paper 40515, University Library of Munich, Germany.
    9. Maral Kichian, 2012. "Financial Conditions and the Money-Output Relationship in Canada," Staff Working Papers 12-33, Bank of Canada.
    10. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    11. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
    12. Matteo Farnè & Angela Montanari, 2022. "A Bootstrap Method to Test Granger-Causality in the Frequency Domain," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 935-966, March.
    13. Petre Caraiani, 2014. "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, vol. 46(2), pages 743-763, March.
    14. Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2008. "Testing for Granger (non-)causality in a time-varying coefficient VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 293-303.
    15. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz, 2019. "On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1047-1065, July.
    16. Albulescu, Claudiu Tiberiu & Ajmi, Ahdi Noomen, 2021. "Oil price and US dollar exchange rate: Change detection of bi-directional causal impact," Energy Economics, Elsevier, vol. 100(C).
    17. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
    18. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    19. Olivier Habimana, 2019. "Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 85-110, January.
    20. Mihai Mutascu & Alexandre Sokic, 2022. "An extended wavelet approach of the money–output link in the United States," Post-Print hal-03858118, HAL.
    21. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
    22. Andreopoulos Spyros, 2009. "Oil Matters: Real Input Prices and U.S. Unemployment Revisited," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-31, March.
    23. Roula Inglesi-Lotz & Mehmet Balcilar & Rangan Gupta, 2013. "Time-Varying Causality between Research Output and Economic Growth in the US," Working Papers 201350, University of Pretoria, Department of Economics.
    24. Spyros Andreopoulos, 2006. "The real interest rate, the real oil price, and US unemployment revisited," Bristol Economics Discussion Papers 06/592, School of Economics, University of Bristol, UK.
    25. Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
    26. Serwa, Dobromił, 2007. "Banking crises and nonlinear linkages between credit and output," MPRA Paper 5946, University Library of Munich, Germany.
    27. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
    28. Caraiani, Petre, 2012. "Money and output: New evidence based on wavelet coherence," Economics Letters, Elsevier, vol. 116(3), pages 547-550.
    29. BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
    30. Serletis, Apostolos & Xu, Libo, 2020. "Functional monetary aggregates, monetary policy, and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    31. Arslanturk, Yalcin & Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2011. "Time-varying linkages between tourism receipts and economic growth in a small open economy," Economic Modelling, Elsevier, vol. 28(1), pages 664-671.
    32. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    33. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working papers 2010-21, University of Connecticut, Department of Economics.
    34. Al-Habashneh Fedel Mayuf, 2022. "The Narrow and Expanded Money Supply and Its Impact on Interest Rate and Product of the Private Sector in Jordan during the Period (1990–2019)," Foundations of Management, Sciendo, vol. 14(1), pages 143-154, January.
    35. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
    36. Shu-Ping Shi & Stan Hurn & Peter C. B. Phillips, 2016. "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship," Cowles Foundation Discussion Papers 2059, Cowles Foundation for Research in Economics, Yale University.
    37. Gomes, Pedro & Kurter, Zeynep O. & Morita, Rubens, 2022. "European Sovereign Bond and Stock Market Granger Causality Dynamics," The Warwick Economics Research Paper Series (TWERPS) 1405, University of Warwick, Department of Economics.
    38. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    39. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    40. Jin Zhang and David C. Broadstock, 2016. "The Causality between Energy Consumption and Economic Growth for China in a Time-varying Framework," The Energy Journal, International Association for Energy Economics, vol. 0(China Spe).
    41. Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015. "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 51-71.
    42. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.
    43. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
    44. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
    45. Bildirici, Melike E. & Gökmenoğlu, Seyit M., 2017. "Environmental pollution, hydropower energy consumption and economic growth: Evidence from G7 countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 75(C), pages 68-85.
    46. Wang, Xia & Zheng, Tingguo & Zhu, Yanli, 2014. "Money–output Granger causal dynamics in China," Economic Modelling, Elsevier, vol. 43(C), pages 192-200.
    47. Clements, Adam & Hurn, Stan & Shi, Shuping, 2017. "An empirical investigation of herding in the U.S. stock market," Economic Modelling, Elsevier, vol. 67(C), pages 184-192.
    48. Sui, Jianli & Liu, Biying & Li, Zhigang & Zhang, Chengping, 2022. "Monetary and macroprudential policies, output, prices, and financial stability," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 212-233.
    49. Caraiani, Petre, 2016. "Money and output causality: A structural approach," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 220-236.
    50. Lin, Ling & Zhou, Zhongbao & Liu, Qing & Jiang, Yong, 2019. "Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 245-254.
    51. Carl-Henrik Dahlqvist, 2018. "Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-22, August.
    52. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Arslanturk, Yalcin, 2010. "Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window," Energy Economics, Elsevier, vol. 32(6), pages 1398-1410, November.
    53. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2013. "Asymmetric and Time-Varying Causality between Inflation and Inflation Uncertainty in G-7 Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 1-42, February.
    54. Berger, Helge & Österholm, Pär, 2008. "Does money still matter for U.S. output?," Discussion Papers 2008/7, Free University Berlin, School of Business & Economics.
    55. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
    56. Kandemir Kocaaslan, Ozge, 2013. "The causal link between energy and output growth: Evidence from Markov switching Granger causality," Energy Policy, Elsevier, vol. 63(C), pages 1196-1206.
    57. Jing-Tung WU, 2016. "The Markov-switching Granger Causality of Asia-Pacific Exchange Rates," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 94-115, September.
    58. Mehmet Balcilar & Zeynel Ozdemir, 2013. "The export-output growth nexus in Japan: a bootstrap rolling window approach," Empirical Economics, Springer, vol. 44(2), pages 639-660, April.

  23. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.
    2. Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
    3. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
    4. Haroon Mumtaz & Paolo Surico, 2015. "The Transmission Mechanism In Good And Bad Times," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1237-1260, November.
    5. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2016. "Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(2), pages 135-155, May.
    6. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
    7. Shyh-Wei Chen, 2010. "Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990," Applied Economics, Taylor & Francis Journals, vol. 42(1), pages 121-132.
    8. Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
    9. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2015. "The Role of Financial Depth on The Asymmetric Impact of Monetary Policy," EcoMod2015 8285, EcoMod.
    10. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    11. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
    12. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2017. "Financial Depth and the Asymmetric Impact of Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1195-1218, December.
    13. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    14. Jinho Bae & Chang-Jin Kim & Dong Heon Kim, 2011. "The Evolution of the Monetary Policy Regimes in the U.S," Discussion Paper Series 1102, Institute of Economic Research, Korea University.
    15. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Post-Print halshs-00658540, HAL.
    16. Mustafa Caglayan & Ozge Kandemir & Kostas Mouratidis, 2012. "The Impact of Inflation Uncertainty on Economic Growth: A MRS-IV Approach," Working Papers 2012025, The University of Sheffield, Department of Economics.
    17. Brian Lucey & Grace Loring, 2012. "Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract:," The Institute for International Integration Studies Discussion Paper Series iiisdp404, IIIS.
    18. Mustafa Caglayan & Ozge Kandemir & Kostas Mouratidis, 2011. "Real effects of inflation uncertainty in the US," Working Papers 2011002, The University of Sheffield, Department of Economics, revised Feb 2015.
    19. Alejandro Islas-Camargo & Willy Walter Cortez & Tania Pamela Sanabria Flores, 2018. "Is Mexico's Forward Exchange Rate Market Efficient?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 273-289, Abril-Jun.
    20. Wang Xia & Shang Yuhuang & Zheng Tingguo, 2014. "An extensive study on Markov switching models with endogenous regressors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-16, September.
    21. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    22. Phungo, Muka & Bonga-Bonga, Lumengo, 2019. "An analysis of the unbiased forward rate hypothesis in developed and emerging economies," MPRA Paper 92222, University Library of Munich, Germany.
    23. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 214-230.

  24. Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.

    Cited by:

    1. Anton A. Cheremukhin & Antonella Tutino, 2014. "Asymmetric firm dynamics under rational inattention," Working Papers 1411, Federal Reserve Bank of Dallas.
    2. Knüppel, Malte, 2004. "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies 2004,41, Deutsche Bundesbank.
    3. Claude DIEBOLT & Jamel TRABELSI, 2009. "Human Capital and French Macroeconomic Growth in the Long Run," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 40, pages 901-917, May.
    4. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2016. "Deepening Contractions and Collateral Constraints," CEPR Discussion Papers 11166, C.E.P.R. Discussion Papers.
    5. Mogens Fosgerau & Jinwon Kim & Abhishek Ranjan, 2017. "Vickrey Meets Alonso: Commute Scheduling and Congestion in a Monocentric City," Discussion Papers 17-25, University of Copenhagen. Department of Economics.
    6. Cook, S., 2004. "On the Detection of Business Cycles Asymmetry in 22 Countries, 1870-1994," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1).
    7. Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
    8. Steven Cook & Alan Speight, 2006. "International Business Cycle Asymmetry and Time Irreversible Nonlinearities," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(10), pages 1051-1065.
    9. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.
    10. David Gray, 2020. "An international housing market in the British Isles: Evidence from business and medium-term cycles using a Friedman test," Urban Studies, Urban Studies Journal Limited, vol. 57(2), pages 307-322, February.
    11. Santos, Sonia de Lucas & Rodríguez, María Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Application of factor models for the identification of countries sharing international reference-cycles," Economic Modelling, Elsevier, vol. 28(6), pages 2424-2431.
    12. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
    13. Edoardo Gaffeo & Ivan Petrella & Damjan Pfajfar & Emiliano Santoro, 2012. "Loss Aversion and the Asymmetric Transmission of Monetary Policy," Discussion Papers 12-21, University of Copenhagen. Department of Economics.
    14. A. Pagan & J. Engel & D. Haugh, 2004. "Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting," Econometric Society 2004 Australasian Meetings 284, Econometric Society.
    15. Knüppel, Malte, 2008. "Can capacity constraints explain asymmetries," Discussion Paper Series 1: Economic Studies 2008,01, Deutsche Bundesbank.
    16. Dagum, Estela Bee & Giannerini, Simone, 2006. "A critical investigation on detrending procedures for non-linear processes," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 175-191, March.
    17. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
    18. Li Jing, 2016. "Effects of filtering data on testing asymmetry in threshold autoregressive models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 549-565, December.
    19. Fukuda, Kosei, 2012. "Illustrating extraordinary shocks causing trend breaks," Economic Modelling, Elsevier, vol. 29(4), pages 1045-1052.
    20. Steven Cook & Alan Speight, 2006. "Time deformation in UK consumers' expenditure: an empirical analysis of highly disaggregated data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 471-478.
    21. James Engel & David Haugh & Adrian Pagan, 2004. "Some methods for assessing the need for non-linear models in business cycle analysis," CAMA Working Papers 2004-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    22. Steven Cook & Alan Speight, 2007. "Time Irreversibility in Consumers' Expenditure: An Analysis of Disaggregated Data," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(4), pages 561-575.
    23. Steven Cook & Alan Speight, 2005. "A deeper look at asymmetries in UK consumers' expenditure: the nonparametric analysis of 100 disaggregates," Applied Economics, Taylor & Francis Journals, vol. 37(8), pages 893-900.
    24. Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 34(95), pages 73-84, Agosto.

  25. Martin Sola & M Karansos & Zacharias Psaradakis, 2002. "On the autocorrelation properties of Long Memory Garch Processes," Department of Economics Working Papers 025, Universidad Torcuato Di Tella.

    Cited by:

    1. Conrad, Christian, 2010. "Non-negativity conditions for the hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 157(2), pages 441-457, August.
    2. Klein, Tony & Walther, Thomas, 2017. "Fast fractional differencing in modeling long memory of conditional variance for high-frequency data," Finance Research Letters, Elsevier, vol. 22(C), pages 274-279.
    3. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
    4. Carol Alexander & Emese Lazar & Silvia Stanescu, 2018. "Analytic Moments for GARCH Processes," Papers 1808.09666, arXiv.org, revised Sep 2018.
    5. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    6. Yuanhua Feng & Chen Zhou, 2013. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," Working Papers CIE 59, Paderborn University, CIE Center for International Economics.
    7. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    8. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    9. Richard T. Baillie & Young Wook Han, 2019. "Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets," Korean Economic Review, Korean Economic Association, vol. 35, pages 183-203.
    10. Ruiz Esther & Pérez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.
    11. Conrad, Christian & Karanasos, Menelaos, 2006. "The impulse response function of the long memory GARCH process," Economics Letters, Elsevier, vol. 90(1), pages 34-41, January.
    12. Melike Bildirici & Özgür Ömer Ersin, 2014. "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 108-135, October.
    13. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
    14. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    15. Pan, Qunxing & Li, Peng & Du, Xiuli, 2023. "An improved FIGARCH model with the fractional differencing operator (1-νL)d," Finance Research Letters, Elsevier, vol. 55(PB).
    16. Carl Lönnbark, 2016. "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, vol. 50(4), pages 1409-1419, June.
    17. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
    18. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
    19. Feng, Lingbing & Fu, Tong & Shi, Yanlin, 2022. "How does news sentiment affect the states of Japanese stock return volatility?," International Review of Financial Analysis, Elsevier, vol. 84(C).
    20. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(\infty) models," Working Paper 1425, Economics Department, Queen's University.
    21. Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
    22. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
    23. M. Karanasos & S. Yfanti & A. Christopoulos, 2021. "The long memory HEAVY process: modeling and forecasting financial volatility," Annals of Operations Research, Springer, vol. 306(1), pages 111-130, November.
    24. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    25. Yuanhua Feng & Thomas Gries & Sebastian Letmathe, 2023. "FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series," Working Papers CIE 156, Paderborn University, CIE Center for International Economics.
    26. Tomasz Wójtowicz & Henryk Gurgul, 2009. "Long memory of volatility measures in time series," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(1), pages 37-54.
    27. Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.

  26. Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002. "A Test for Volatility Spillovers," Economics and Finance Discussion Papers 02-04, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
    2. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, University Library of Munich, Germany.
    3. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
    4. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
    5. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    6. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
    7. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    8. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    9. Yoon Hong & Ji-chul Lee & Guoping Ding, 2017. "Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(3), pages 164-169, September.
    10. L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022. "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS 202205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    11. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
    12. Kui Fan & Zudi Lu & Shouyang Wang, 2009. "Dynamic Linkages Between the China and International Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(3), pages 211-230, September.
    13. Serwa, Dobromił, 2007. "Banking crises and nonlinear linkages between credit and output," MPRA Paper 5946, University Library of Munich, Germany.
    14. Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017. "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(1), pages 55-71.
    15. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
    16. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    17. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    18. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    19. Jedrzej Białkowski & Dobromił Serwa, 2005. "Financial contagion, spillovers and causality in the Markov switching framework," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 123-131.
    20. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.
    21. Elena Fedorova & Kashif Saleem, 2010. "Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 519-533, December.
    22. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
    23. Yu, Jung-Suk & Hassan, M. Kabir, 2008. "Global and regional integration of the Middle East and North African (MENA) stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 482-504, August.
    24. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.
    25. Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 301-317, October.

  27. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.

    Cited by:

    1. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
    2. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
    3. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001. "A simple method for testing cointegration subject to regime changes," NIPE Working Papers 15/2001, NIPE - Universidade do Minho.

  28. John Driffill & Turalay Kenc & Martin Sola, 2002. "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002 304, Society for Computational Economics.

    Cited by:

    1. Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
    2. Giuseppe Di Graziano & L. C. G. Rogers, 2009. "Equity with Markov-modulated dividends," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 19-26.
    3. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    4. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.

  29. Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 1998. "An Empirical Reassessment of Target-zone Nonlinearities," Cambridge Working Papers in Economics 9825, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Venus Khim-Sen Liew & Kian-Ping Lim & Evan Lau & Chee-Keong Choong, 2003. "Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia," International Finance 0311014, University Library of Munich, Germany.
    2. Venus Khim-Sen Liew & Chee-Keong Choong & Evan Lau & Kian-Ping Lim, 2005. "Exchange Rate – Relative Price Nonlinear Cointegration Relationship in Malaysia," Economics Bulletin, AccessEcon, vol. 6(11), pages 1-16.

  30. Morten O. Ravn & Martín Solà, 1997. "Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small?," Economics Working Papers 247, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1997.

    Cited by:

    1. Dolado, Juan J. & María-Dolores, Ramón, 1999. "An Empirical Study of the Cyclical Effects of Monetary Policy in Spain (1977-1997)," CEPR Discussion Papers 2193, C.E.P.R. Discussion Papers.
    2. Ramón María-Dolores, 2001. "Asimetrías en los efectos de la política monetaria en España (1977-1996)," Investigaciones Economicas, Fundación SEPI, vol. 25(2), pages 391-415, May.
    3. Randall E. Parker & Philip Rothman, 2004. "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre--World War I and Interwar Periods," Economic Inquiry, Western Economic Association International, vol. 42(1), pages 88-100, January.
    4. Haykaz Igityan, 2021. "Asymmetric Effects of Monetary Policy on the Armenian Economy," Russian Journal of Money and Finance, Bank of Russia, vol. 80(1), pages 46-103, March.
    5. Claus Thustrup Kreiner, 2002. "Do the New Keynesian Microfoundations Rationalise Stabilisation Policy?," Economic Journal, Royal Economic Society, vol. 112(479), pages 384-401, April.
    6. Marianne Sensier & Denise R. Osborn & Nadir Öcal, 2002. "Asymmetric Interest Rate Effects for the UK Real Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 315-339, September.
    7. Annette Detken, 2002. "Nonlinearities in Swiss macroeconomic data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 39-60, March.
    8. Ioannis Pragidis & Periklis Gogas & Benjamin Tabak, 2013. "Asymmetric Effects of Monetary Policy in the U.S. and Brazil," Working Papers Series 340, Central Bank of Brazil, Research Department.
    9. Hess, Martin K., 2004. "Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 455-471, December.
    10. Anna Florio, 2004. "The Asymmetric Effects of Monetary Policy," Journal of Economic Surveys, Wiley Blackwell, vol. 18(3), pages 409-426, July.
    11. Haykaz Igityan, 2019. "Asymmetric Effects of Monetary Policy in Different Phases of Armenia's Business Cycle," Working Papers 11, Central Bank of the Republic of Armenia.
    12. Haykaz Igityan, 2021. "Asymmetric Effects of Monetary Policy on the Armenian Economy," Working Papers 18, Central Bank of the Republic of Armenia, revised Mar 2021.

  31. Morten Ravn & Martin Sola, 1996. "A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small," Archive Discussion Papers 9606, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Laura E. Jackson & Michael T. Owyang & Daniel Soques, 2016. "Nonlinearities, Smoothing and Countercyclical Monetary Policy," Working Papers 2016-8, Federal Reserve Bank of St. Louis.
    2. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
    3. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
    4. Rafik Nazarian & Ashkan Amiri, 2014. "Asymmetry of the Oil Price Pass Through to Inflation in Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 4(3), pages 457-464.
    5. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent) 146, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    6. Vinícius Dos Santos Cerqueira & Márcio Bruno Ribeiro & Thiago Sevilhano Martinez, 2014. "Propagaçãoassimétrica De Choques Monetários Na Economia Brasileira: Evidênciascom Base Em Um Modelo Vetorial Não-Linear De Transição Suave," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 032, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    7. Saki Bigio & Jorge Salas, 2006. "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers 2006-008, Banco Central de Reserva del Perú.
    8. Randall E. Parker & Philip Rothman, 2004. "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre--World War I and Interwar Periods," Economic Inquiry, Western Economic Association International, vol. 42(1), pages 88-100, January.
    9. Hazra, Devika, 2022. "Does monetary policy favor the skilled? − Distributional role of monetary policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 65-86.
    10. Fabio ALESSANDRINI, 2003. "Some Additional Evidence from the Credit Channel on the Response to Monetary Shocks: Looking for Asymmetries," Cahiers de Recherches Economiques du Département d'économie 03.04, Université de Lausanne, Faculté des HEC, Département d’économie.
    11. Zakir, Nadia & Malik, Wasim Shahid, 2013. "Are the effects of monetary policy on output asymmetric in Pakistan?," Economic Modelling, Elsevier, vol. 32(C), pages 1-9.
    12. Barnichon, Regis & Matthes, Christian, 2016. "Gaussian Mixture Approximations of Impulse Responses and The Non-Linear Effects of Monetary Shocks," CEPR Discussion Papers 11374, C.E.P.R. Discussion Papers.
    13. Christian Matthes & Regis Barnichon, 2015. "Measuring the Non-Linear Effects of Monetary Policy," 2015 Meeting Papers 49, Society for Economic Dynamics.
    14. Jonathan Chiu & Miguel Molico, 2021. "Short-Run Dynamics in a Search-Theoretic Model of Monetary Exchange," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 133-155, October.
    15. Manuchehr Irandoust, 2020. "The effectiveness of monetary policy and output fluctuations: An asymmetric analysis," Australian Economic Papers, Wiley Blackwell, vol. 59(2), pages 161-181, June.
    16. John Bennett & Manfredi M. A. La Manna, 2001. "Reversing the Keynesian Asymmetry," American Economic Review, American Economic Association, vol. 91(5), pages 1556-1563, December.
    17. Simon Hall & Mark Walsh & Anthony Yates, 1997. "How do UK companies set prices?," Bank of England working papers 67, Bank of England.
    18. Burstein, Ariel T., 2006. "Inflation and output dynamics with state-dependent pricing decisions," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1235-1257, October.
    19. Jui-Chuan (Della) Chang & Dennis W. Jansen, 2005. "The Effect of Monetary Policy on Bank Lending and Aggregate Output: Asymmetries from Nonlinearities in the Lending Channel," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 129-153, May.
    20. Nadav Ben Zeev, 2019. "Identification of Sign-Dependency of Impulse Responses," Working Papers 1907, Ben-Gurion University of the Negev, Department of Economics.
    21. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, vol. 31(1), pages 207-216, March.

  32. Michael Funke & Stephen Hall & Martin Sola, 1993. "Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence," CESifo Working Paper Series 52, CESifo.

    Cited by:

    1. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
    2. Chen, Xi & Funke, Michael, 2013. "Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles," National Institute Economic Review, National Institute of Economic and Social Research, vol. 223, pages 39-48, February.
    3. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers 09-2011, Singapore Management University, School of Economics.
    4. K. Rudgalvis, 1996. "Establishing a new currency and exchange rate determination: the case of Lithuania," CERT Discussion Papers 9604, Centre for Economic Reform and Transformation, Heriot Watt University.
    5. Hooker, Mark A., 2000. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 583-600, August.
    6. Albert Marcet & Juan Pablo Nicolini, 1997. "Recurrent Hyperinflations and Learning," Working Papers wp1997_9721, CEMFI.
    7. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016. "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
    8. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
    9. Simon van Norden & Robert Vigfusson, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers 9603001, University Library of Munich, Germany.
    10. Keith Cuthbertson & Don Bredin, 2001. "Money demand in the czech republic since transition," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 4(4), pages 271-290.
    11. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September.
    12. Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013. "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, vol. 37(C), pages 40-51.
    13. Paulo M.M. Rodrigues & Rita Fradique Lourenço, 2015. "House prices: bubbles, exuberance or something else? Evidence from euro area countries," Working Papers w201517, Banco de Portugal, Economics and Research Department.
    14. Ahmed, Mumtaz & Bashir, Uzma & Ullah, Irfan, 2021. "Testing for explosivity in US-Pak Exchange Rate via Sequential ADF Procedures," MPRA Paper 109607, University Library of Munich, Germany.
    15. Martin Bohl & Philipp Kaufmann & Patrick Stephan, 2012. "From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks," CQE Working Papers 2412, Center for Quantitative Economics (CQE), University of Muenster.
    16. Lucia Mandongwe & Stanley Murairwa & Phamela Dube, 2022. "A Theoretical Assessment of the Operational Budgets in Hyperinflation Countries, Lessons from Boarding Schools in Zimbabwe: Effects and Survival Strategies," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 6(6), pages 669-677, June.
    17. Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos, 2012. "Exchange rate bubbles: Fundamental value estimation and rational expectations test," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1033-1059.
    18. Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
    19. Białkowski, Jędrzej & Bohl, Martin T. & Stephan, Patrick M. & Wisniewski, Tomasz P., 2015. "The gold price in times of crisis," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 329-339.
    20. Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
    21. Andras Fulop & Jun Yu, 2017. "Bayesian Analysis of Bubbles in Asset Prices," Econometrics, MDPI, vol. 5(4), pages 1-23, October.
    22. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, University Library of Munich, Germany.
    23. Hing Chan & Kai Woo, 2006. "Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 169-185, June.
    24. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
    25. Efthymios Pavlidis & Ivan Paya & David Peel, 2012. "A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation," Working Papers 18599597, Lancaster University Management School, Economics Department.
    26. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
    27. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series 1997-49, Board of Governors of the Federal Reserve System (U.S.).
    28. Shu-Ping Shi, 2013. "Specification sensitivities in the Markov-switching unit root test for bubbles," Empirical Economics, Springer, vol. 45(2), pages 697-713, October.
    29. Xi Chen & Michael Funke, 2013. "Renewed Momentum in the German Housing Market: Boom or Bubble?," CESifo Working Paper Series 4287, CESifo.
    30. Berlemann, Michael & Freese, Julia & Knoth, Sven, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper 124/2012, Helmut Schmidt University, Hamburg.
    31. Charemza, Wojciech W., 1996. "Detecting stochastic bubbles on an East European foreign exchange market: An estimation/simulation approach," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 35-53, March.

  33. Z. Psaradakis & M. Solá, 1993. "On the power of tests for superexogeneity and structural invariance," Documentos de Trabajo (working papers) 0993, Department of Economics - dECON.

    Cited by:

    1. Kia, Amir, 2003. "Rational speculators and equity volatility as a measure of ex ante risk," Global Finance Journal, Elsevier, vol. 14(2), pages 135-157, July.
    2. Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics.
    3. Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2017. "Evaluating Forecasts, Narratives and Policy Using a Test of Invariance," Econometrics, MDPI, vol. 5(3), pages 1-27, September.
    4. Cheong, ChongCheul, 2003. "Regime changes and econometric modeling of the demand for money in Korea," Economic Modelling, Elsevier, vol. 20(3), pages 437-453, May.
    5. Amir Kia, 2005. "Overnight Monetary Policy in the United States: Active or Interest-Rate Smoothing?," Carleton Economic Papers 05-07, Carleton University, Department of Economics, revised Mar 2010.
    6. Amir Kia & Ali F. Darrat, 2003. "Modeling Money Demand under the Profit-Sharing Banking Scheme: Evidence on Policy Invariance and Long-Run Stability," Carleton Economic Papers 03-13, Carleton University, Department of Economics, revised Apr 2007.
    7. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    8. Francis, Bill B. & Leachman, Lori L., 1998. "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 475-492, June.
    9. Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020. "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, vol. 42(1), pages 153-172.
    10. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
    11. Smith, Ron, 2009. "EMU and the Lucas Critique," Economic Modelling, Elsevier, vol. 26(4), pages 744-750, July.
    12. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    13. Kia, Amir & Darrat, Ali F., 2007. "Modeling money demand under the profit-sharing banking scheme: Some evidence on policy invariance and long-run stability," Global Finance Journal, Elsevier, vol. 18(1), pages 104-123.
    14. Amir Kia, 2002. "Interest Free and Interest-Bearing Money Demand: Policy Invariance and Stability," Working Papers 0214, Economic Research Forum, revised 09 May 2002.

  34. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, "undated". "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York.

    Cited by:

    1. Li, Chang-Shuai, 2012. "Common persistence in conditional variance: A reconsideration," Economic Modelling, Elsevier, vol. 29(5), pages 1809-1819.
    2. Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York.
    3. Menelaos Karanasos, "undated". "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
    4. Menelaos Karanasos, "undated". "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.

Articles

  1. Caravello, Tomas E. & Psaradakis, Zacharias & Sola, Martin, 2023. "Rational bubbles: Too many to be true?," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    See citations under working paper version above.
  2. Michael Dueker & Laura E Jackson & Michael T Owyang & Martin Sola, 2023. "A time-varying threshold STAR model with applications," Oxford Open Economics, Oxford University Press, vol. 2, pages 63-98.
    See citations under working paper version above.
  3. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022. "Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities," Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
    See citations under working paper version above.
  4. Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
    See citations under working paper version above.
  5. Constantino Hevia & Martin Sola, 2018. "Bond Risk Premia and Restrictions on Risk Prices," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    See citations under working paper version above.
  6. Constantino Hevia & Martin Gonzalez‐Rozada & Martin Sola & Fabio Spagnolo, 2015. "Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 987-1009, September.
    See citations under working paper version above.
  7. Martín Gonzalez-Rozada & Matías Escudero & Martín Solá, 2014. "Toward a “New” Inflation-Targeting Framework: The Case of Uruguay," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2014), pages 89-131, June.
    See citations under working paper version above.
  8. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.

    Cited by:

    1. Lixiong Yang, 2023. "Variable selection in threshold model with a covariate-dependent threshold," Empirical Economics, Springer, vol. 65(1), pages 189-202, July.
    2. Min Gan & C.L. Philip Chen & Long Chen & Chun-Yang Zhang, 2016. "Exploiting the interpretability and forecasting ability of the RBF-AR model for nonlinear time series," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(8), pages 1868-1876, June.
    3. Yang, Lixiong & Su, Jen-Je, 2018. "Debt and growth: Is there a constant tipping point?," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 133-143.
    4. Lixiong Yang & Chingnun Lee & I‐Po Chen, 2021. "Threshold model with a time‐varying threshold based on Fourier approximation," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 406-430, July.
    5. Nauro Campos & Ekaterina Glebkina & Menelaos Karanasos & Panagiotis Koutroumpis, 2023. "Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003," Open Economies Review, Springer, vol. 34(4), pages 831-861, September.
    6. Lixiong Yang, 2020. "State-dependent biases and the quality of China’s preliminary GDP announcements," Empirical Economics, Springer, vol. 59(6), pages 2663-2687, December.
    7. Zhu Yanli & Chen Haiqiang & Lin Ming, 2019. "Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(5), pages 1-17, December.

  9. John Driffill & Turalay Kenc & Martin Sola, 2013. "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-30.
    See citations under working paper version above.
  10. Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
    See citations under working paper version above.
  11. Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011. "Contemporaneous-Threshold Smooth Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
    See citations under working paper version above.
  12. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2009. "Selecting nonlinear time series models using information criteria," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 369-394, July.

    Cited by:

    1. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
    2. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
    3. Francesco Giordano & Marcella Niglio & Cosimo Damiano Vitale, 2023. "Linear approximation of the Threshold AutoRegressive model: an application to order estimation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(1), pages 27-56, March.
    4. Laurent Ferrara & Massimiliano Marcellino & Matteo Mogliani, 2015. "Macroeconomic forecasting during the Great Recession: the return of non-linearity?," Post-Print hal-01635951, HAL.
    5. Rickard Sandberg, 2018. "Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 942-952, November.
    6. Diteboho Xaba & Ntebogang Dinah Moroke & Ishmael Rapoo, 2019. "Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 10-22.
    7. Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
    8. Diteboho Xaba & Ntebogang Dinah Moroke & Johnson Arkaah & Charlemagne Pooe, 2016. "Modeling South African Banks closing stock prices: a Markov-Switching Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 8(1), pages 36-40.
    9. Rinke Saskia & Sibbertsen Philipp, 2016. "Information criteria for nonlinear time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 325-341, June.
    10. Michael Frömmel, 2010. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
    11. Hee-Young Kim & Christian H. Weiß & Tobias A. Möller, 2020. "Models for autoregressive processes of bounded counts: How different are they?," Computational Statistics, Springer, vol. 35(4), pages 1715-1736, December.
    12. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
    13. Rinke, Saskia, 2016. "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP) dp-575, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    14. Greta Goracci, 2021. "An empirical study on the parsimony and descriptive power of TARMA models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 109-137, March.

  13. Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio, 2009. "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.

    Cited by:

    1. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
    2. Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
    3. Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo, 2012. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," Department of Economics Working Papers 2012-07, Universidad Torcuato Di Tella.

  14. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.

    Cited by:

    1. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
    2. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
    3. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2015. "The Role of Financial Depth on The Asymmetric Impact of Monetary Policy," EcoMod2015 8285, EcoMod.
    4. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
    5. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2017. "Financial Depth and the Asymmetric Impact of Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1195-1218, December.

  15. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
    See citations under working paper version above.
  16. Driffill, John & Sola, Martin, 2006. "Target zones for exchange rates and policy changes," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 912-931, October.
    See citations under working paper version above.
  17. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.

    Cited by:

    1. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
    2. Baxa, Jaromír & Horváth, Roman & Vašíček, Bořek, 2014. "How Does Monetary Policy Change? Evidence On Inflation-Targeting Countries," Macroeconomic Dynamics, Cambridge University Press, vol. 18(3), pages 593-630, April.
    3. Jinho Bae & Chang-Jin Kim & Dong Heon Kim, 2011. "The Evolution of the Monetary Policy Regimes in the U.S," Discussion Paper Series 1102, Institute of Economic Research, Korea University.
    4. Robert Faff & Sirimon Treepongkaruna, 2013. "A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 333-352, August.
    5. Wang Xia & Shang Yuhuang & Zheng Tingguo, 2014. "An extensive study on Markov switching models with endogenous regressors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-16, September.

  18. Morten O. Ravn & Zacharias Psaradakis & Martin Sola, 2005. "Markov switching causality and the money-output relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 665-683.
    See citations under working paper version above.
  19. Martin Sola & Zacharias Psaradakis & Fabio Spagnolo, 2005. "Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 423-437.
    See citations under working paper version above.
  20. Morten O. Ravn & Martin Sola, 2004. "Asymmetric effects of monetary policy in the United States," Review, Federal Reserve Bank of St. Louis, vol. 86(Sep), pages 41-60.

    Cited by:

    1. Gaffeo, E. & Petrella, I. & Pfajfar, D. & Santoro, E., 2010. "Reference-dependent Preferences and the Transmission of Monetary Policy," Other publications TiSEM 2d1a9a11-fccf-42ef-8779-3, Tilburg University, School of Economics and Management.
    2. Karras, Georgios, 2013. "Asymmetric effects of monetary policy with or without Quantitative Easing: Empirical evidence for the US," The Journal of Economic Asymmetries, Elsevier, vol. 10(1), pages 1-9.
    3. Laura E. Jackson & Michael T. Owyang & Daniel Soques, 2016. "Nonlinearities, Smoothing and Countercyclical Monetary Policy," Working Papers 2016-8, Federal Reserve Bank of St. Louis.
    4. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    5. Sergio Sola, 2013. "Temporary and Persistent Fiscal Policy Shocks," IHEID Working Papers 06-2013, Economics Section, The Graduate Institute of International Studies.
    6. Pennings, Steven & Ramayandi, Arief & Tang, Hsiao Chink, 2015. "The impact of monetary policy on financial markets in small open economies: More or less effective during the global financial crisis?," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 60-70.
    7. Ana Beatriz Galvão & Michael T. Owyang, 2018. "Financial Stress Regimes and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1479-1505, October.
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    2. Camacho, Maximo, 2011. "Markov-switching models and the unit root hypothesis in real US GDP," Economics Letters, Elsevier, vol. 112(2), pages 161-164, August.
    3. Holmes Mark J. & Panagiotidis Theodore, 2009. "Cointegration and Asymmetric Adjustment: Some New Evidence Concerning the Behavior of the U.S. Current Account," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-25, June.
    4. Nurgun Topalli & İbrahim Dogan, 2016. "The structure and sustainability of current account deficit: Turkish evidence from regime switching," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(4), pages 570-589, June.
    5. Rosaria Canale & Ugo Marani, 2015. "Current account and fiscal imbalances in the Eurozone: Siamese twins in an asymmetrical currency union," International Economics and Economic Policy, Springer, vol. 12(2), pages 189-203, June.
    6. Das, Debasish Kumar, 2012. "Determinants of current account imbalances in the global economy: A dynamic panel analysis," MPRA Paper 42419, University Library of Munich, Germany.
    7. Vasif Abioglu & Suleyman Koc & Ibrahim Bakirtas, 2021. "The sustainability of the Turkish current account: Smooth structural break and asymmetric adjustments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3916-3929, July.
    8. Resat CEYLAN, 2018. "Kirilgan Beslide Cari Aciklarin Surdurulebilirligi: Dogrusal Olmayan Birim Kok Testleri Ile Kanitlar," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 18(1), pages 121-134.
    9. Antonio Afonso & Florence Huart & João Tovar Jalles & Piotr Stanek, 2019. "Long-run relationship between exports and imports: current account sustainability tests for the EU," Post-Print hal-02499351, HAL.
    10. Olufemi G. Onatunji, 2023. "Sustainability of current account deficits in Nigeria: evidence from the asymmetric NARDL approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
    11. Chen, Shyh-Wei, 2011. "Are current account deficits really sustainable in the G-7 countries?," Japan and the World Economy, Elsevier, vol. 23(3), pages 190-201.
    12. Daniel Ordoñez-Callamand & Luis F. Melo-Velandia & Oscar M. Valencia-Arana, 2017. "Current Account Sustainability in Latin America Considering Nonlinearities," Borradores de Economia 987, Banco de la Republica de Colombia.
    13. Mohammed Shuaibu & Mutiu Abimbola Oyinlola, 2017. "An Empirical Analysis of Nigeria’s Current Account Sustainability," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(1), pages 54-76, February.
    14. Chen, Shyh-Wei & Xie, Zixiong, 2015. "Testing for current account sustainability under assumptions of smooth break and nonlinearity," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 142-156.
    15. Christophe André & Tsangyao Chang & Luis A. Gil-Alana & Rangan Gupta, 2017. "Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks," Working Papers 201705, University of Pretoria, Department of Economics.
    16. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Lau, Evan, 2017. "Fiscal sustainability in an emerging market economy: When does public debt turn bad?," Journal of Policy Modeling, Elsevier, vol. 39(1), pages 99-113.
    17. Anton Velinov, 2014. "Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process," Discussion Papers of DIW Berlin 1359, DIW Berlin, German Institute for Economic Research.
    18. Chen, Shyh-Wei, 2011. "Current account deficits and sustainability: Evidence from the OECD countries," Economic Modelling, Elsevier, vol. 28(4), pages 1455-1464, July.
    19. Tarlok Singh, 2015. "Sustainability of current account deficits in India: an intertemporal perspective," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4934-4951, October.
    20. Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group.
    21. Chen, Shyh-Wei, 2013. "Long memory and regime switching properties of current account deficits in the US," Economic Modelling, Elsevier, vol. 35(C), pages 78-87.
    22. Takeuchi, Fumihide, 2010. "US external debt sustainability revisited: Bayesian analysis of extended Markov switching unit root test," Japan and the World Economy, Elsevier, vol. 22(2), pages 98-106, March.
    23. Singh Tarlok, 2017. "Sustainability of Current Account Deficits in the OECD Countries: Evidence from Panel Data Estimators," Global Economy Journal, De Gruyter, vol. 17(4), pages 1-16, December.
    24. Kuang-Liang Chang, 2012. "Stock return predictability and stationarity of dividend yield," Economics Bulletin, AccessEcon, vol. 32(1), pages 715-729.
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    26. Chen, Shyh-Wei, 2014. "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, vol. 38(C), pages 541-554.
    27. Tarlok Singh, 2017. "Are Current Account Deficits in the OECD Countries Sustainable? Robust Evidence from Time-Series Estimators," The International Trade Journal, Taylor & Francis Journals, vol. 31(1), pages 29-64, January.

  22. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.

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    1. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, Department of Economics and Business Economics, Aarhus University.
    2. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
    3. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    4. Seo, Myung Hwan, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
    5. Sajad Ahmad Bhat & Javed Ahmad Bhat, 2021. "Impact of Exchange Rate Changes on the Trade Balance of India: An Asymmetric Nonlinear Cointegration Approach," Foreign Trade Review, , vol. 56(1), pages 71-88, February.
    6. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    7. Ramzi Benkraiem & Amine Lahiani & Anthony Miloudi & Shahbaz Muhammad, 2019. "The asymmetric role of shadow economy in the energy-growth nexus in Bolivia," Post-Print hal-01935226, HAL.
    8. Eric Girardin & Zhenya Liu, 2007. "The financial integration of China: New evidence on temporally aggregated data for the A-share market," Money Macro and Finance (MMF) Research Group Conference 2006 160, Money Macro and Finance Research Group.
    9. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
    10. Ghosh, Taniya & Parab, Prashant Mehul, 2021. "Assessing India’s productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment," Economic Modelling, Elsevier, vol. 97(C), pages 182-195.
    11. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    12. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers 201429, University of Pretoria, Department of Economics.
    13. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
    14. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    15. David E. Allen & Michael McAleer, 2020. "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index," Energies, MDPI, vol. 13(15), pages 1-11, August.
    16. Vasco Gabriel & Pataaree Sangduan, 2011. "Assessing fiscal sustainability subject to policy changes: a Markov switching cointegration approach," Empirical Economics, Springer, vol. 41(2), pages 371-385, October.
    17. Angelos Kanas, 2008. "Modeling regime transition in stock index futures markets and forecasting implications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 649-669.
    18. Shang, Di & Diao, Gang & Zhao, Xiaodi, 2020. "Have China's regulations on imported waste paper improved its quality," Forest Policy and Economics, Elsevier, vol. 119(C).
    19. Jamel JOUINI, 2018. "Measuring the Macroeconomic Impacts of Fiscal Policy Shocks in the Saudi Economy : A Markov Switching Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 55-70, December.
    20. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
    21. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
    22. Markus Eller & Michael Frömmel & Nora Srzentic, 2010. "Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 50-78.
    23. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
    24. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    25. Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
    26. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
    27. Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    28. Masudul Hasan Adil & Salman Haider & Neeraj R. Hatekar, 2020. "Empirical Assessment of Money Demand Stability Under India’s Open Economy: Non-linear ARDL Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(4), pages 891-909, December.
    29. Rafiq, Shuddhasattwa & Bloch, Harry, 2016. "Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models," Resources Policy, Elsevier, vol. 50(C), pages 34-48.
    30. Luz A. Flórez & Karen L. Pulido-Mahecha & Mario A. Ramos-Veloza, 2018. "Okun´s law in Colombia: a non-linear cointegration," Borradores de Economia 1039, Banco de la Republica de Colombia.
    31. Nikeel Kumar & Ronald Ravinesh Kumar & Radika Kumar & Peter Josef Stauvermann, 2020. "Is the tourism–growth relationship asymmetric in the Cook Islands? Evidence from NARDL cointegration and causality tests," Tourism Economics, , vol. 26(4), pages 658-681, June.
    32. Chen, Shyh-Wei, 2011. "Are current account deficits really sustainable in the G-7 countries?," Japan and the World Economy, Elsevier, vol. 23(3), pages 190-201.
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    34. Skrobotov, Anton, 2021. "Structural breaks in cointegration models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 117-141.
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    37. Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2008. "Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(4), pages 507-513.
    38. Heejoon Han & Na Kyeong Lee, 2018. "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, vol. 34, pages 213-235.
    39. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector‐Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 668-686, June.
    40. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    41. Amin Sokhanvar & Glenn P. Jenkins, 2021. "An Efficient Long-Run Economic Growth Strategy for Estonia," Development Discussion Papers 2020-23, JDI Executive Programs.
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    43. Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017. "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers 2017-93, Kiel Institute for the World Economy (IfW Kiel).
    44. Rania Guirat, 2011. "Investor behavior heterogeneity in the French stock market," Economics Bulletin, AccessEcon, vol. 31(2), pages 1827-1836.
    45. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    46. David G. McMillan, 2009. "Are Uk Share Prices Too High? Fundamental Value Or New Era," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 1-20, January.
    47. Goodness C. Aye & Tsangyao Chang & Rangan Gupta, 2015. "Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model," Working Papers 201559, University of Pretoria, Department of Economics.
    48. Gustavo Cabrera González, 2019. "Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 203-219, Abril-Jun.
    49. Eissa, Mohamad Abdelaziz & Al Refai, Hisham, 2019. "Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil," Resources Policy, Elsevier, vol. 64(C).
    50. Mehmet Balcilar & Godwin Olasehinde-Williams & Muhammad Shahbaz, 2018. "Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan," Working Papers 15-39, Eastern Mediterranean University, Department of Economics.
    51. Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.
    52. Shahbaz, Muhammad & Khraief, Naceur & L. Czudaj, Robert, 2020. "Renewable Energy Consumption-Economic Growth Nexus in G7 Countries: New Evidence from a Nonlinear ARDL Approach," MPRA Paper 103525, University Library of Munich, Germany, revised 13 Oct 2020.
    53. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
    54. Qi Zhang & Charlie X Cai & Kevin Keasey, 2009. "Forecasting using high-frequency data: a comparison of asymmetric financial duration models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 371-386.
    55. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    56. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
    57. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.
    58. Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
    59. Chen, Shyh-Wei, 2011. "Current account deficits and sustainability: Evidence from the OECD countries," Economic Modelling, Elsevier, vol. 28(4), pages 1455-1464, July.
    60. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
    61. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
    62. Kashif Islam & Ahmad Raza Bilal & Syed Anees Haider Zaidi, 2022. "Symmetric and asymmetric nexus between economic freedom and stock market development in Pakistan," Economic Change and Restructuring, Springer, vol. 55(4), pages 2391-2421, November.
    63. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Post-Print halshs-00658540, HAL.
    64. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    65. Khalil Mhadhbi & Chokri Terzi, 2022. "Shadow economy threshold effect in the relationship finance–growth in Tunisia: A nonlinear autoregressive distributed lag approach," Journal of International Development, John Wiley & Sons, Ltd., vol. 34(3), pages 636-651, April.
    66. Pelin ÖGE GÜNEY, 2013. "The Term Structure of Interest Rates: A Cointegration Analysis in the Non-Linear STAR Framework," Journal of Economics and Behavioral Studies, AMH International, vol. 5(12), pages 851-860.
    67. Frömmel, Michael & Schmidt, Torsten, 2006. "Bank Lending and Asset Prices in the Euro Area," Hannover Economic Papers (HEP) dp-342, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    68. Katsuhiro Sugita, 2017. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 49-56, March.
    69. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2123-2136, August.
    70. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 13-04, Asociación Española de Economía y Finanzas Internacionales.
    71. Bothwell Nyoni & Andrew Phiri, 2018. "The Electricity-growth Nexus in South Africa: Evidence from Asymmetric Cointegration and Co-feature Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 80-88.
    72. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    73. Prashant Parab, 2022. "Exchange rate pass-through in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-012, Indira Gandhi Institute of Development Research, Mumbai, India.
    74. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "Nonlinear Vector Error Correction Models in Price Transmission Analysis: Threshold Models vs. Markov-Switching Models," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44198, European Association of Agricultural Economists.
    75. Katrakilidis, Constantinos & Trachanas, Emmanouil, 2012. "What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration," Economic Modelling, Elsevier, vol. 29(4), pages 1064-1069.
    76. Zacharias Psaradakis & Fabio Spagnolo, 2005. "Forecast performance of nonlinear error-correction models with multiple regimes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 119-138.
    77. Judge, Amrit & Reancharoen, Tipprapa, 2014. "An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 335-358.
    78. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    79. Pan, Xiongfeng & Uddin, Md. Kamal & Saima, Umme & Guo, Shucen & Guo, Ranran, 2019. "Regime switching effect of financial development on energy intensity: Evidence from Markov-switching vector error correction model," Energy Policy, Elsevier, vol. 135(C).
    80. Jose Eduardo de A. Ferreira, 2006. "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics 0603, School of Economics, University of Kent.
    81. Demir, Ayse U. & Hall, Stephen G., 2017. "Financial structure and economic development: Evidence on the view of ‘new structuralism’," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 252-259.
    82. Badamvaanchig, Mungunzul & Islam, Moinul & Kakinaka, Makoto, 2021. "Pass-through of commodity price to Mongolian stock price: Symmetric or asymmetric?," Resources Policy, Elsevier, vol. 70(C).
    83. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
    84. Nikolaos Mitianoudis & Theologos Dergiades, 2016. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series 2016_04, Department of Economics, University of Macedonia, revised Dec 2016.
    85. Muhammad Ahad & Ijaz ur Rehman & Fiza Qureshi & Waqas Hanif & Zaheer Anwer, 2018. "Modelling Asymmetric Impact of Home Country Macroeconomic Variables on American Depository Receipts: Evidence from Eurozone," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 703-727, November.
    86. Ma, Chao, 2020. "Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?," Journal of Housing Economics, Elsevier, vol. 49(C).
    87. Dong, Fang, 2017. "Testing the Marshall-Lerner condition between the U.S. and other G7 member countries," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 30-40.
    88. Raybaudi, Marzia & Sola, Martin & Spagnolo, Fabio, 2004. "Red signals: current account deficits and sustainability," Economics Letters, Elsevier, vol. 84(2), pages 217-223, August.
    89. Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright, 2015. "Modelling the Australian Dollar," RBA Research Discussion Papers rdp2015-12, Reserve Bank of Australia.
    90. Chai, Jian & Zhang, Xiaokong & Lu, Quanying & Zhang, Xuejun & Wang, Yabo, 2021. "Research on imbalance between supply and demand in China's natural gas market under the double-track price system," Energy Policy, Elsevier, vol. 155(C).

  23. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, 2004. "On the Autocorrelation Properties of Long‐Memory GARCH Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 265-282, March.
    See citations under working paper version above.
  24. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
    See citations under working paper version above.
  25. Tronzano, Marco & Psaradakis, Zacharias & Sola, Martin, 2003. "Target zone credibility and economic fundamentals," Economic Modelling, Elsevier, vol. 20(4), pages 791-807, July.

    Cited by:

    1. M. Isabel Campos & M. Araceli Rodríguez, 2000. "Crises and Credibility in a Target Zone: A Logit from a Markov-Switching Model," Working Papers 00-05, Asociación Española de Economía y Finanzas Internacionales.
    2. Jeanne, Olivier & Masson, Paul, 2000. "Currency crises, sunspots and Markov-switching regimes," Journal of International Economics, Elsevier, vol. 50(2), pages 327-350, April.
    3. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
    4. M. Araceli Rodríguez López, "undated". "Variables fundamentales o ataques "Self-fulfilling"? Una explicación a las crisis de credibilidad de la peseta espanola," Studies on the Spanish Economy 90, FEDEA.
    5. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
    6. Po-Chin Wu & Shiao-Yen Liu & Sheng-Chieh Pan, 2014. "Nonlinear relationship between health care expenditure and its determinants: a panel smooth transition regression model," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(4), pages 713-729, November.
    7. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF, Faculty of Economics, University of Coimbra.
    8. WAJIH KHALLOULI & MOHAMED Ayadi & RENE SANDRETTO, 2013. "Fondamentaux, Contagion Et Dynamique Des Anticipations :Une Evaluation A Partir De La Crise Financiere Coreenne," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(2), pages 175-189.
    9. Huimin Zhao & Fuzhou Gong & Fangping Peng & Qin Liu, 2014. "Probability Analysis of Exchange Rate Target Zones," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(1), pages 29-41, January.
    10. Jamshaid ur Rehman & Tasneem Zafar & Shabbir Ahmad & Aftab Anwar, 2022. "In Search of Common Currency Anchor for ASEAN+3+3 Countries," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 8(3), pages 237-264, September.
    11. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.

  26. Driffill John & Raybaudi Marzia & Sola Martin, 2003. "Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(1), pages 1-40, April.

    Cited by:

    1. John Driffill & Martin Sola & Turalay Kenc, 2009. "Real Options with Priced Regime-Switching Risk," Department of Economics Working Papers 2009-09, Universidad Torcuato Di Tella.
    2. Zhou, Yuanqi & Yang, Jinqiang & Jia, Zhijie, 2023. "Optimizing energy efficiency investments in steel firms: A real options model considering carbon trading and tax cuts during challenging economic conditions," Resources Policy, Elsevier, vol. 85(PA).
    3. Yu-Fu Chen & Michael Funke, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," CESifo Working Paper Series 2759, CESifo.
    4. Makoto Goto & Katsumasa Nishide & Ryuta Takashima, 2013. "Irreversible Investment under Competition with a Markov Switching Regime," KIER Working Papers 861, Kyoto University, Institute of Economic Research.
    5. Francisco Ruiz‐Aliseda & Jianjun Wu, 2012. "Irreversible Investment in Stochastically Cyclical Markets," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 21(3), pages 801-847, September.
    6. Yu-Fu Chen & Michael Funke, 2004. "Cyclical Uncertainty And Physical Investment Decisions," Money Macro and Finance (MMF) Research Group Conference 2004 89, Money Macro and Finance Research Group.
    7. Pierpaolo Benigno & Luca Antonio Ricci, 2010. "The Inflation-Output Trade-off with Downward Wage Rigidities," NBER Working Papers 15762, National Bureau of Economic Research, Inc.
    8. Sodal, Sigbjorn, 2006. "Entry and exit decisions based on a discount factor approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1963-1986, November.

  27. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2002. "A test for volatility spillovers," Economics Letters, Elsevier, vol. 76(1), pages 77-84, June.
    See citations under working paper version above.
  28. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.

    Cited by:

    1. Przemyslaw Wlodarczyk, 2017. "Fiscal sustainability of the Visegrad Group countries in the aftermath of global economic crisis," Lodz Economics Working Papers 2/2017, University of Lodz, Faculty of Economics and Sociology.
    2. Hung, Ying-Shu & Lee, Chingnun & Chen, Pei-Fen, 2022. "China’s monetary policy and global stock markets: A new cointegration approach with smoothing structural changes," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 643-666.
    3. Davies, Andrew, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, Elsevier, vol. 15(4), pages 305-321.
    4. Vasco Gabriel & Pataaree Sangduan, 2011. "Assessing fiscal sustainability subject to policy changes: a Markov switching cointegration approach," Empirical Economics, Springer, vol. 41(2), pages 371-385, October.
    5. Angelos Kanas, 2014. "The impact of prompt corrective action on the default risk of the U.S. commercial banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 393-404, August.
    6. Tronzano, Marco, 2017. "Testing Fiscal Sustainability In The Transition Economies Of Eastern Europe: The Case Of Poland (1999-2015)," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 70(1), pages 103-132.
    7. Maximo Camacho & Gabriel Perez-Quiros, 2013. "Commodity prices and the business cycle in Latin America: Living and dying by commodities," Working Papers 1304, Banco de España.
    8. Alexandre, Fernando & Bacao, Pedro & Gabriel, Vasco J., 2007. "Volatility in asset prices and long-run wealth effect estimates," Economic Modelling, Elsevier, vol. 24(6), pages 1048-1064, November.
    9. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    10. Chien-Chung Nieh & Hwey-Yun Yau & Ken Hung & Hong-Kou Ou & Shine Hung, 2013. "Cointegration and causal relationships among steel prices of Mainland China, Taiwan, and USA in the presence of multiple structural changes," Empirical Economics, Springer, vol. 44(2), pages 545-561, April.
    11. Andrew Davies, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, John Wiley & Sons, vol. 15(4), pages 305-321.
    12. Anton Velinov, 2014. "Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process," Discussion Papers of DIW Berlin 1359, DIW Berlin, German Institute for Economic Research.
    13. Chen, Shyh-Wei, 2011. "Current account deficits and sustainability: Evidence from the OECD countries," Economic Modelling, Elsevier, vol. 28(4), pages 1455-1464, July.
    14. ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.
    15. Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.
    16. Abdulnasser Hatemi-J & Eduardo Roca, 2012. "A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(11), pages 1443-1448, April.
    17. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    18. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.

  29. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September.

    Cited by:

    1. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
    2. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers 09-2011, Singapore Management University, School of Economics.
    3. Shu-Ping Shi & Yong Song, 2012. "Identifying Speculative Bubbles with an Infinite Hidden Markov Model," Working Paper series 26_12, Rimini Centre for Economic Analysis.
    4. Paulo M.M. Rodrigues & Rita Fradique Lourenço, 2015. "House prices: bubbles, exuberance or something else? Evidence from euro area countries," Working Papers w201517, Banco de Portugal, Economics and Research Department.
    5. Ahmed, Mumtaz & Bashir, Uzma & Ullah, Irfan, 2021. "Testing for explosivity in US-Pak Exchange Rate via Sequential ADF Procedures," MPRA Paper 109607, University Library of Munich, Germany.
    6. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    7. Yoon, Gawon, 2012. "Some properties of periodically collapsing bubbles," Economic Modelling, Elsevier, vol. 29(2), pages 299-302.
    8. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
    9. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
    10. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for rational bubbles in banking indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 365-376.
    11. Shyh-Wei Chen & Chi-Sheng Hsu & Cyun-Jhen Pen, 2016. "Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 119-155, February.
    12. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, University Library of Munich, Germany.

  30. Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 2001. "An empirical reassessment of target-zone nonlinearities," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 533-548, August.
    See citations under working paper version above.
  31. Tronzano, Marco & Psaradakis, Zacharias & Sola, Martin, 2000. "Assessing the Credibility of a Target Zone: Evidence from EMS Countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(2), pages 107-120, April.

    Cited by:

    1. Flávio de Freitas Val & Wagner Piazza Gaglianone & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto, 2017. "Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model," Working Papers Series 463, Central Bank of Brazil, Research Department.
    2. Gianni Amisano & Marco Tronzano, 2005. "Assessing ECB?s Credibility During the First Years of the Eurosystem: A Bayesian Empirical Investigation," Working Papers ubs0512, University of Brescia, Department of Economics.
    3. Peter Tillmann, 2001. "The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials," IWP Discussion Paper Series 02/2001, Institute for Economic Policy, Cologne, Germany.
    4. Gianni Amisano & Marco Tronzano, 2010. "Assessing European Central Bank'S Credibility During The First Years Of The Eurosystem: A Bayesian Empirical Investigation," Manchester School, University of Manchester, vol. 78(5), pages 437-459, September.
    5. Laurence Fung & Ip-wing Yu, 2007. "Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar," Working Papers 0719, Hong Kong Monetary Authority.
    6. de Freitas Val, Flávio & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gaglianone, Wagner Piazza, 2017. "Estimating the credibility of Brazilian monetary policy using a Kalman filter approach," Research in International Business and Finance, Elsevier, vol. 41(C), pages 37-53.

  32. Ron Smith & Martin Sola & Fabio Spagnolo, 2000. "The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race," Journal of Peace Research, Peace Research Institute Oslo, vol. 37(6), pages 737-750, November.

    Cited by:

    1. Zombanakis, George A. & Andreou, Andreas A., 2010. "Financial versus human Resources in the Greek - Turkish Arms Race 10 Years on: A forecasting Investigation using Artificial Neural Networks," MPRA Paper 38408, University Library of Munich, Germany, revised 08 Nov 2010.
    2. Christos Kollias & Suzanna-Maria Paleologou, 2003. "Domestic political and external security determinants of the demand for greek military expenditure," Defence and Peace Economics, Taylor & Francis Journals, vol. 14(6), pages 437-445.
    3. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
    4. Andreou, Andreas S. & Zombanakis, George A., 2010. "Financial vs human resources in the Greek-Turkish arms race 10 years on," MPRA Paper 38505, University Library of Munich, Germany.
    5. Oliver Pamp & Florian Dendorfer & Paul W. Thurner, 2018. "Arm your friends and save on defense? The impact of arms exports on military expenditures," Public Choice, Springer, vol. 177(1), pages 165-187, October.
    6. Elveren, Adem Yavuz & Özgür, Gökçer, 2018. "The Effect of Military Expenditures on the Profit Rates in Turkey," MPRA Paper 88848, University Library of Munich, Germany.
    7. Aram Balagyozyan & Esin Cakan, 2016. "Did large institutional investors flock into the technology herd? An empirical investigation using a vector Markov-switching model," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5731-5747, December.
    8. J Paul Dunne & Sam Perlo-Freeman & Ron P Smith, 2009. "Determining Military Expenditures: Arms Races and Spill-Over Effects in Cross-Section and Panel Data," Working Papers 0901, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    9. Nadir Ocal, 2002. "Asymmetric effects of military expenditure between Turkey and Greece," Defence and Peace Economics, Taylor & Francis Journals, vol. 13(5), pages 405-416.
    10. Bove Vincenzo & Gleditsch Kristian Skrede, 2011. "2010 Lewis Fry Richardson Lifetime Achievement Award: Ron P. Smith and the Economics of War and Peace," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 17(1), pages 1-12, December.
    11. Hasan Sahin & Onur Ozsoy, 2008. "Arms Race Between Greece And Turkey: A Markov Switching Approach," Defence and Peace Economics, Taylor & Francis Journals, vol. 19(3), pages 209-216.
    12. Asiye TÜTÜNCÜ & Burak ŞAHİNGÖZ, 2020. "Arms Race Between Turkey and Greece: Time-Varying Causality Analysis Abstract: An arms race is the dynamic process followed by states in the acquisition of weapons. An arms race requires mutual milita," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(45).
    13. J Paul Dunne & Samuel Perlo-Freeman & Ron P Smith, 2007. "The Demand for Military Expenditure in Developing Countries: Hostility versus Capability," Working Papers 0707, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    14. Walter Gutjahr, 2006. "Interaction dynamics of two reinforcement learners," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 14(1), pages 59-86, February.
    15. Andrea Beccarini, 2017. "Verifying time inconsistency of the ECB monetary policy by means of a regime-switching approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(2), pages 203-227, May.

  33. Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1999. "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 143-154, March-Apr.

    Cited by:

    1. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
    2. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, Department of Economics and Business Economics, Aarhus University.
    3. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 393-409, October.
    4. Camacho, Maximo, 2011. "Markov-switching models and the unit root hypothesis in real US GDP," Economics Letters, Elsevier, vol. 112(2), pages 161-164, August.
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    6. León-Ledesma, Miguel A. & McAdam, Peter, 2003. "Unemployment, hysteresis and transition," Working Paper Series 234, European Central Bank.
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    Cited by:

    1. Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
    2. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    3. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Forecasting UK Industrial Production over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-424, September.
    4. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
    5. Esteban Gómez & sandra Rozo, 2007. "Beyond Bubbles:The role of asset prices in early-warning indicators," Borradores de Economia 4050, Banco de la Republica.
    6. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
    7. Roman Frydman & Michael Goldberg & Nicholas Mangee, 2015. "New Evidence for the Present-Value Model of Stock Prices: Why the REH Version Failed Empirically," Working Papers Series 2, Institute for New Economic Thinking.
    8. Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
    9. Leandro Arozamena & Juan-José Ganuza & Federico Weinschelbaum, 2021. "Renegotiation and Discrimination in Symmetric Procurement Auctions," Working Papers 1275, Barcelona School of Economics.
    10. Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús, 2014. "An Alternative View of the US Price-Dividend Ratio Dynamics," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    11. Gutierrez, Maria-Jose & Vazquez, Jesus, 2004. "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2297-2325, October.
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    13. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    14. Cho, Dooyeon & Han, Heejoon & Lee, Na Kyeong, 2019. "Carry trades and endogenous regime switches in exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 255-268.
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    17. Morita Rubens & Psaradakis Zacharias & Sola Martin & Yunis Patricio, 2024. "On testing for bubbles during hyperinflations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 25-37, February.
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    20. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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    22. Tomás Caravello & Zacharias Psaradakis & Martín Sola, 2021. "Rational Bubbles: Too Many to be True?," Department of Economics Working Papers 2021_06, Universidad Torcuato Di Tella.
    23. Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
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    26. Alexandre, Fernando & Bacao, Pedro & Gabriel, Vasco J., 2007. "Volatility in asset prices and long-run wealth effect estimates," Economic Modelling, Elsevier, vol. 24(6), pages 1048-1064, November.
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    28. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
    29. Antonio N. Bojanic, 2021. "A Markov-Switching Model of Inflation in Bolivia," Economies, MDPI, vol. 9(1), pages 1-18, March.
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    32. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2020. "Stationary Bubble Equilibria in Rational Expectation Models," Post-Print hal-03330912, HAL.
    33. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
    34. Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017. "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers 2017-93, Kiel Institute for the World Economy (IfW Kiel).
    35. Driffill, John & Sola, Martin, 2006. "Target zones for exchange rates and policy changes," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 912-931, October.
    36. Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013. "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, vol. 28(C), pages 115-124.
    37. Esteban Gómez & Sandra Rozo, 2008. "Beyond bubbles: the role of asset prices in early-warning indicators," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 114-148, June.
    38. Aaron Gilbert & Alireza Tourani-Rad & Tomasz Piotr Wisniewski, 2007. "Insiders and the law: The impact of regulatory change on insider trading," Management International Review, Springer, vol. 47(5), pages 745-766, September.
    39. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
    40. Hassan, Mohammad Kabir & Yu, Jung-Suk & Rashid, Mamunur, 2015. "Rational Speculative Bubbles in the Frontier Emerging Stock Markets," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 27-38.
    41. Zhang, Yue-Jun & Yao, Ting, 2016. "Interpreting the movement of oil prices: Driven by fundamentals or bubbles?," Economic Modelling, Elsevier, vol. 55(C), pages 226-240.
    42. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 225-236, March.
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    44. J. R. Kim & K. Chung, 2014. "Regime switching and the (in)stability of the price-rent relationship: evidence from the US," Applied Economics, Taylor & Francis Journals, vol. 46(33), pages 4041-4052, November.
    45. Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.
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    47. Tomas E. Caravello & John Driffill & Turalay Kenc & Martin Sola, 2023. "Risk Aversion and Changes in Regime," Working Papers 237, Red Nacional de Investigadores en Economía (RedNIE).
    48. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
    49. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
    50. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
    51. Fredj Jawadi, 2008. "Estimating The S&P Fundamental Value Using Star Models," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 2(1), pages 137-146.
    52. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 13-04, Asociación Española de Economía y Finanzas Internacionales.
    53. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
    54. KevinJ. Lansing, 2010. "Rational and Near-Rational Bubbles Without Drift," Economic Journal, Royal Economic Society, vol. 120(549), pages 1149-1174, December.
    55. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001. "A simple method for testing cointegration subject to regime changes," NIPE Working Papers 15/2001, NIPE - Universidade do Minho.
    56. K. Moses Tule & O. Taiwo Ajilore, 2016. "On the stability of the money multiplier in Nigeria: Co-integration analyses with regime shifts in banking system liquidity," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1187780-118, December.
    57. Al-Anaswah, Nael & Wilfling, Bernd, 2011. "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1073-1086, May.
    58. Mangee, Nicholas, 2024. "Stock price swings and fundamentals: The role of Knightian uncertainty," International Review of Financial Analysis, Elsevier, vol. 91(C).
    59. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    60. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
    61. Nunes, Maurício Simiano & da Silva, Sérgio, 2009. "Bolhas Racionais no Índice Bovespa," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(2), June.
    62. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Modeling The Dividend-Price Ratio: The Role Of Fundamentals Using A Regime-Switching Approach," Working Papers 12-2000, Copenhagen Business School, Department of Economics.
    63. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," Documentos de Trabajo 11028, Universidad del Valle, CIDSE.
    64. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    65. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
    66. Friedrich Geiecke & Mark Trede, 2010. "A Direct Test of Rational Bubbles," CQE Working Papers 1310, Center for Quantitative Economics (CQE), University of Muenster.
    67. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
    68. Peter Toth & Petr Zemcik, 2006. "What Makes Firms in Emerging Markets Attractive to Foreign Investors? Micro-evidence from the Czech Republic," CERGE-EI Working Papers wp294, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    69. Bond, Derek & Gallagher, Emer & Ramsey, Elaine, 2012. "A preliminary investigation of northern Ireland's housing market dynamics," MPRA Paper 39806, University Library of Munich, Germany.
    70. Nneji, Ogonna, 2015. "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 132-146.
    71. Damianov, Damian S & Escobari, Diego, 2015. "Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble," MPRA Paper 65765, University Library of Munich, Germany.
    72. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    73. Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.

  35. Driffill, John & Psaradakis, Zacharias & Sola, Martin, 1998. "Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(4), pages 321-325, October.

    Cited by:

    1. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank of Ireland.
    2. Meng-Fen Hsieh & Chien-Chiang Lee, 2010. "The Puzzle Between Banking Competition and Profitability can be Solved: International Evidence from Bank-Level Data," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(2), pages 135-157, December.
    3. Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
    4. Mehmet Balcilar & Rangan Gupta & Chien-Chiang Lee & Godwin Olasehinde-Williams, 2018. "The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa," Working Papers 201818, University of Pretoria, Department of Economics.
    5. Argyropoulos, Efthymios & Tzavalis, Elias, 2015. "Real term structure forecasts of consumption growth," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 208-222.
    6. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
    7. Lee, Chien-Chiang & Hsieh, Meng-Fen, 2013. "The impact of bank capital on profitability and risk in Asian banking," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 251-281.
    8. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.

  36. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.

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    1. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    2. José P. Dapena & Juan A. Serur & Julián R. Siri, 2019. "Risk on-Risk off: A regime switching model for active portfolio management," CEMA Working Papers: Serie Documentos de Trabajo. 706, Universidad del CEMA.
    3. Jean-Marie Dufour & Richard Luger, 2016. "Identification-robust moment-based tests for Markov-switching in autoregressive models," CIRANO Working Papers 2016s-63, CIRANO.
    4. Marian Vavra, 2013. "Testing for linear and Markov switching DSGE models," Working and Discussion Papers WP 3/2013, Research Department, National Bank of Slovakia.
    5. Monica Billio & Silvio Di Sanzo, 2015. "Granger-causality in Markov switching models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 956-966, May.
    6. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
    7. Kapetanios, George, 2000. "Small sample properties of the conditional least squares estimator in SETAR models," Economics Letters, Elsevier, vol. 69(3), pages 267-276, December.
    8. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University.
    9. M. Araceli Rodríguez López, "undated". "Variables fundamentales o ataques "Self-fulfilling"? Una explicación a las crisis de credibilidad de la peseta espanola," Studies on the Spanish Economy 90, FEDEA.
    10. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
    11. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
    12. Aneta Wlodarczyk, 2017. "Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 129-145.
    13. Marian Vavra, 2023. "Bias-Correction in Time Series Quantile Regression Models," Working and Discussion Papers WP 3/2023, Research Department, National Bank of Slovakia.
    14. Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.
    15. José P. Dapena & Juan A. Serur & Julián R. Siri, 2018. "Measuring and trading volatility on the US stock market: A regime switching approach," CEMA Working Papers: Serie Documentos de Trabajo. 659, Universidad del CEMA.
    16. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.
    17. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
    18. Marie Bessec, 2019. "Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data," Post-Print hal-02181552, HAL.
    19. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
    20. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    21. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
    22. Georges Dionne & Amir Saissi Hassani, 2015. "Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Cahiers de recherche 1516, CIRPEE.
    23. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
    24. Tsung-Wu Ho, 2001. "Finite-sample properties of the bootstrap estimator in a Markov-switching model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(7), pages 835-842.
    25. Hiroshi Ishijima & Masaki Uchida, 2011. "The Regime Switching Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 167-189, May.
    26. Tronzano, Marco & Psaradakis, Zacharias & Sola, Martin, 2003. "Target zone credibility and economic fundamentals," Economic Modelling, Elsevier, vol. 20(4), pages 791-807, July.
    27. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    28. Tsung-wu Ho, 2001. "Analyzing the Crowding-out Problems of Taiwan," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 26(1), pages 115-131, June.
    29. Carol Alexander & Anca Dimitriu, 2005. "Detecting Switching Strategies in Equity Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-07, Henley Business School, University of Reading.
    30. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
    31. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
    32. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    33. Kerekes, Monika, 2009. "Growth miracles and failures in a Markov switching classification model of growth," Discussion Papers 2009/11, Free University Berlin, School of Business & Economics.
    34. Hiroshi Ishijima & Masaki Uchida, 2011. "Log Mean-Variance Portfolio Selection Under Regime Switching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 213-229, May.

  37. Driffill, John & Psaradakis, Zacharias & Sola, Martin, 1997. "A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(1), pages 29-42, February.

    Cited by:

    1. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
    2. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank of Ireland.
    3. Argyropoulos, Efthymios & Tzavalis, Elias, 2015. "Real term structure forecasts of consumption growth," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 208-222.
    4. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
    5. Efthymios Argyropoulos & Nikolaos Elias & Dimitris Smyrnakis & Elias Tzavalis, 2021. "Can country-specific interest rate factors explain the forward premium anomaly?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 252-269, April.
    6. Psaradakis, Zacharias & Sola, Martin, 1996. "On the power of tests for superexogeneity and structural invariance," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 151-175.
    7. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
    8. Esteve, Vicente, 2006. "A note on nonlinear dynamics in the Spanish term structure of interest rates," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 316-323.
    9. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers 2003-022, Federal Reserve Bank of St. Louis.
    10. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    11. Éric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
    12. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
    13. Camarero, Mariam & Tamarit, Cecilio, 2002. "Instability tests in cointegration relationships. An application to the term structure of interest rates," Economic Modelling, Elsevier, vol. 19(5), pages 783-799, November.
    14. Mark E. Wohar & Robert Sollis, 2007. "Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure," Journal of Economic Insight, Missouri Valley Economic Association, vol. 33(2), pages 1-19.
    15. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.

  38. Hall, Stephen & Psaradakis, Zacharias & Sola, Martin, 1997. "Switching error-correction models of house prices in the United Kingdom," Economic Modelling, Elsevier, vol. 14(4), pages 517-527, October.

    Cited by:

    1. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, Department of Economics and Business Economics, Aarhus University.
    2. Petra Posedel & Maruška Vizek, 2011. "Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 584-600, December.
    3. Zacharias Psaradakis, 1998. "Bootstrap-based evaluation of markov-switching time series models," Econometric Reviews, Taylor & Francis Journals, vol. 17(3), pages 275-288.
    4. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    5. Beatrice D. Simo-Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012. "Is The Relationship Between Monetary Policy And House Prices Asymmetric In South Africa? Evidence From A Markov-Switching Vector Autoregressive Model," Working Papers 201222, University of Pretoria, Department of Economics.
    6. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
    7. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.
    8. Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
    9. Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, vol. 20(1), pages 141-164, January.
    10. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    11. Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
    12. Markus Eller & Michael Frömmel & Nora Srzentic, 2010. "Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 50-78.
    13. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
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    15. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    16. Michail Karoglou & Bruce Morley & Dennis Thomas, 2013. "Risk and Structural Instability in US House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 424-436, April.
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    21. Maurice J. Roche, 1999. "Irish house prices: will the roof fall in?," Economics Department Working Paper Series n890699, Department of Economics, National University of Ireland - Maynooth.
    22. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.
    23. Helmut Herwartz & Fang Xu, 2020. "Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 164-190, January.
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    36. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.
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    1. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
    2. Sylvia Kaufmann & Peter Kugler, 2006. "Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area," Working Papers 131, Oesterreichische Nationalbank (Austrian Central Bank).
    3. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
    4. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
    5. Neville Francis & Michael T. Owyang, 2004. "Monetary policy in a Markov-switching VECM: implications for the cost of disinflation and the price puzzle," Working Papers 2003-001, Federal Reserve Bank of St. Louis.
    6. Neto, David, 2021. "Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: An application to the Feldstein–Horioka puzzle," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 179(C), pages 253-264.
    7. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
    8. Pedro Bação & Fernando Alexandre & Vasco J. Gabriel, 2006. "On the stability of the wealth effect," Computing in Economics and Finance 2006 281, Society for Computational Economics.
    9. Richard Paap & Herman K. van Dijk, 1999. "Bayes Estimates of Markov Trends in possibly Cointegrated Series: An Application to US Consumption and Income," Tinbergen Institute Discussion Papers 99-024/4, Tinbergen Institute.
    10. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.
    11. Vasco Gabriel & Pataaree Sangduan, 2011. "Assessing fiscal sustainability subject to policy changes: a Markov switching cointegration approach," Empirical Economics, Springer, vol. 41(2), pages 371-385, October.
    12. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
    13. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    14. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University.
    15. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
    16. Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022. "On cointegration for processes integrated at different frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
    17. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
    18. Alexandre, Fernando & Bacao, Pedro & Gabriel, Vasco J., 2007. "Volatility in asset prices and long-run wealth effect estimates," Economic Modelling, Elsevier, vol. 24(6), pages 1048-1064, November.
    19. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
    20. Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
    21. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 105(2), pages 309-336, December.
    22. Khan, Asad Ul Islam & Shahbaz, Muhammad & Napari, Ayuba, 2023. "Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach," Resources Policy, Elsevier, vol. 83(C).
    23. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
    24. Nagayasu, Jun, 2012. "The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries," MPRA Paper 36215, University Library of Munich, Germany.
    25. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
    26. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
    27. Ripamonti, Alexandre, 2013. "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper 79460, University Library of Munich, Germany.
    28. ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.
    29. Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.
    30. Taylor, Andrew & Shepherd, David & Duncan, Stephen, 2005. "The structure of the Australian growth process: A Bayesian model selection view of Markov switching," Economic Modelling, Elsevier, vol. 22(4), pages 628-645, July.
    31. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
    32. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2123-2136, August.
    33. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001. "A simple method for testing cointegration subject to regime changes," NIPE Working Papers 15/2001, NIPE - Universidade do Minho.
    34. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    35. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
    36. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.
    37. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
    38. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
    39. Tsung-wu Ho, 2001. "Analyzing the Crowding-out Problems of Taiwan," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 26(1), pages 115-131, June.
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    41. Sandy Suardi, 2010. "Nonstationarity, cointegration and structural breaks in the Australian term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 42(22), pages 2865-2879.

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    1. Leandro Arozamena & Juan-José Ganuza & Federico Weinschelbaum, 2021. "Renegotiation and Discrimination in Symmetric Procurement Auctions," Working Papers 1275, Barcelona School of Economics.
    2. Morita Rubens & Psaradakis Zacharias & Sola Martin & Yunis Patricio, 2024. "On testing for bubbles during hyperinflations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 25-37, February.
    3. Oscar J. Arce, 2006. "Speculative Hyperinflations: When Can We Rule Them Out?," Computing in Economics and Finance 2006 376, Society for Computational Economics.
    4. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
    5. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, University of Reading.
    6. Vijay Kumar Vishwakarma & Ohannes George Paskelian, 2012. "Bubble In The Indian Real Estate Markets: Identification Using Regime-Switching Methodology," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 27-40.
    7. Hing Chan & Kai Woo, 2006. "Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 169-185, June.
    8. Juha Junttila, 2003. "Detecting speculative bubbles in an IT-intensive stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 166-189, June.
    9. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series 1997-49, Board of Governors of the Federal Reserve System (U.S.).

  42. Ravn, Morten O. & Sola, Martin, 1995. "Stylized facts and regime changes: Are prices procyclical?," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 497-526, December.

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    1. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
    2. George Davis & Bryce Kanago, 2002. "The contemporaneous correlation between price shocks and output shocks," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2333-2339.
    3. Wouter J. den Haan, 2002. "The Comovement between Real Activity and Prices in the G7," Tinbergen Institute Discussion Papers 02-092/2, Tinbergen Institute.
    4. Hans-Martin Krolzig & Michael P. Clements & Department of Economics & University of Warwick, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 58, University of Oxford, Department of Economics.
    5. Ravn, Morten & Uhlig, Harald, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers 2858, C.E.P.R. Discussion Papers.
    6. den Haan, Wouter J. & Sumner, Steven W., 2004. "The comovement between real activity and prices in the G7," European Economic Review, Elsevier, vol. 48(6), pages 1333-1347, December.
    7. Buera, Francisco & Nicolini, Juan Pablo, 2004. "Optimal maturity of government debt without state contingent bonds," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 531-554, April.
    8. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    9. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
    10. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
    11. Haroon Mumtaz & Saverio Simonelli & Paolo Surico, 2009. "International Comovements, Business Cycle and Inflation: a Historical Perspective," CSEF Working Papers 233, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    12. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    13. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
    14. Serwa, Dobromił, 2007. "Banking crises and nonlinear linkages between credit and output," MPRA Paper 5946, University Library of Munich, Germany.
    15. Fischer, Andreas & Amstad, Marlene, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers.
    16. Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002. "A Test for Volatility Spillovers," Economics and Finance Discussion Papers 02-04, Economics and Finance Section, School of Social Sciences, Brunel University.
    17. Saverio Simonelli & Haroon Mumtaz & Paolo Surico, 2009. "A Historical Perspective on International Co-movements: 1821-2007," 2009 Meeting Papers 523, Society for Economic Dynamics.
    18. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
    19. Jedrzej Białkowski & Dobromił Serwa, 2005. "Financial contagion, spillovers and causality in the Markov switching framework," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 123-131.
    20. Marjan Petreski, 2011. "A Markov Switch to Inflation Targeting in Emerging Market Peggers with a Focus on the Czech Republic, Poland and Hungary," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 57-75.
    21. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.
    22. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.
    23. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
    24. Kerim Peren ARIN & Otto. F. REICH & Oliver LORZ & Nicola SPAGNOLO, 2010. "Understanding Homeland Security: Theory and UK Evidence," EcoMod2010 259600011, EcoMod.

  43. Keith Blackburn & Felipe Orduna & Martin Sola, 1995. "Exponential smoothing and spurious correlation: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 2(3), pages 76-79.

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    1. Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The University of Manchester.
    2. Tawadros, George B., 2011. "The stylised facts of Australia's business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 549-556.
    3. Galimberti, Jaqueson K. & Moura, Marcelo L., 2016. "Improving the reliability of real-time output gap estimates using survey forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 358-373.

  44. Sola, Martin & Driffill, John, 1994. "Testing the term structure of interest rates using a stationary vector autoregression with regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 601-628.

    Cited by:

    1. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers 2006-15, Graduate School of Economics, Hitotsubashi University.
    2. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    3. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated monetary policy and the dynamic behaviour of the term structure of interest rates," Bank of Finland Research Discussion Papers 12/1999, Bank of Finland.
    4. MILLION Nicolas, 2010. "Shifting Regimes in the Relationship between Interest Rates and Inflation: A Threshold Cointegration Approach," EcoMod2003 330700102, EcoMod.
    5. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
    6. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    7. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    8. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
    9. Ahrens, Ralf, 1999. "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series 1999/14, Center for Financial Studies (CFS).
    10. Million, Nicolas, 2004. "Central Bank's interventions and the Fisher hypothesis: a threshold cointegration investigation," Economic Modelling, Elsevier, vol. 21(6), pages 1051-1064, December.
    11. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
    12. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
    13. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
    14. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    15. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank of Ireland.
    16. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department.
    17. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
    18. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
    19. Martin Evans, 2002. "Real Risk, Inflation Risk, and the Term Structure," Working Papers gueconwpa~02-02-10, Georgetown University, Department of Economics.
    20. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
    21. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    22. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
    23. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
    24. Lanne, Markku, 1999. "Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift," Bank of Finland Research Discussion Papers 20/1999, Bank of Finland.
    25. Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.
    26. Constantino Hevia & Ivan Petrella & Martin Sola, 2022. "Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals," Working Papers 200, Red Nacional de Investigadores en Economía (RedNIE).
    27. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis.
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    21. Preslava Kovatchevska, 2000. "The Banking and Currency Crises in Bulgaria: 1996 - 1997," CASE Network Studies and Analyses 0204, CASE-Center for Social and Economic Research.
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    32. Ivo Krznar, 2004. "Currency Crisis: Theory and Practice with Application to Croatia," Working Papers 12, The Croatian National Bank, Croatia.
    33. Otker, Inci & Pazarbasioglu, Ceyla, 1997. "Speculative attacks and macroeconomic fundamentals: evidence from some European currencies," European Economic Review, Elsevier, vol. 41(3-5), pages 847-860, April.
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    35. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
    36. Tronzano, Marco & Psaradakis, Zacharias & Sola, Martin, 2003. "Target zone credibility and economic fundamentals," Economic Modelling, Elsevier, vol. 20(4), pages 791-807, July.
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    43. Olivier Jeanne, 1996. "Les modèles de crise de change : un essai de synthèse en relation avec la crise du franc de 1992-1993," Économie et Prévision, Programme National Persée, vol. 123(2), pages 147-162.
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