Financial stress, regime switching and macrodynamics: Theory and empirics for the US, EU and non-EU countries
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- Semmler, Willi & Chen, Pu, 2014. "Financial stress, regime switching and macrodynamics: Theory and empirics for the US, the EU and non-EU countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-42.
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Cited by:
- Armah, Mohammed & Amewu, Godfred, 2024. "Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
- Schleer, Frauke & Semmler, Willi, 2015.
"Financial sector and output dynamics in the euro area: Non-linearities reconsidered,"
Journal of Macroeconomics, Elsevier, vol. 46(C), pages 235-263.
- Schleer, Frauke & Semmler, Willi, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100578, Verein für Socialpolitik / German Economic Association.
- Frauke Schleer & Willi Semmler, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," SCEPA working paper series. 2014-5, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
- Mittnik, Stefan & Semmler, Willi, 2018.
"Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(1), pages 4-32, January.
- Mittnik, Stefan & Semmler, Willi, 2014. "Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence," ZEW Discussion Papers 14-110, ZEW - Leibniz Centre for European Economic Research.
- Chen, Pu & Semmler, Willi, 2018.
"Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 318-348.
- Pu Chen & Willi Semmler, 2017. "Financial Stress, Regime Switching and Spillover Effects: Evidence from a Multi-Regime Global VAR Model," Working Papers 1708, New School for Social Research, Department of Economics.
- Brian Hartley, 2022. "Episodic incidence of Harrodian instability and the Kaleckian growth model: A Markov‐switching approach," Metroeconomica, Wiley Blackwell, vol. 73(1), pages 268-290, February.
- Soodabeh Sarafrazi & Shawkat Hammoudeh & Mehmet Balcilar, 2015. "Interactions between real economic and financial sides of the US economy in a regime-switching environment," Applied Economics, Taylor & Francis Journals, vol. 47(60), pages 6493-6518, December.
- Tomáš Šestořád, 2019. "Multiplikátor vládních výdajů při nulové nominální úrokové míře [Government Expenditure Multiplier at Zero Nominal Interest Rate]," Politická ekonomie, Prague University of Economics and Business, vol. 2019(1), pages 20-47.
- Willi Semmler & Alexander Haider, 2016.
"The perils of debt deflation in the Euro area: a multi regime model,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(2), pages 257-278, May.
- Semmler, Willi & Haider, Alexander, 2015. "The perils of debt deflation in the euro area: A multi regime model," ZEW Discussion Papers 15-071, ZEW - Leibniz Centre for European Economic Research.
- Donal Smith, 2016. "The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach," Discussion Papers 16/07, Department of Economics, University of York.
- 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).
- Zobia Israr Ahmed & Khalid Mustafa, 2019. "Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(2), pages 111-132, June.
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More about this item
Keywords
financial stress; macro dynamics; MRVAR;All these keywords.
JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-03-30 (Banking)
- NEP-MAC-2013-03-30 (Macroeconomics)
- NEP-OPM-2013-03-30 (Open Economy Macroeconomics)
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