| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Bayesian Approach to Counterfactual Analysis of Structural Change |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
210 |
| A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models |
0 |
0 |
0 |
340 |
0 |
0 |
1 |
646 |
| A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models |
0 |
0 |
0 |
108 |
0 |
0 |
0 |
424 |
| A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
128 |
| A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models |
0 |
0 |
0 |
43 |
0 |
0 |
0 |
162 |
| A Bayesian approach to counterfactual analysis of structural change |
0 |
0 |
0 |
166 |
0 |
0 |
0 |
463 |
| A Markov Switching Model of Congressional Partisan Regimes |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
84 |
| A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data |
0 |
0 |
0 |
111 |
0 |
0 |
0 |
253 |
| Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks |
0 |
0 |
1 |
36 |
0 |
0 |
2 |
141 |
| Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks |
0 |
0 |
0 |
117 |
0 |
0 |
2 |
239 |
| Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations |
0 |
0 |
0 |
129 |
0 |
0 |
1 |
503 |
| Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
138 |
| Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations |
0 |
1 |
1 |
163 |
0 |
1 |
2 |
495 |
| Common stochastic trends, common cycles, and asymmetry in economic fluctuations |
0 |
0 |
0 |
124 |
0 |
0 |
1 |
401 |
| Common stochastic trends, common cycles, and asymmetry in economic fluctuations |
0 |
0 |
0 |
177 |
5 |
16 |
45 |
786 |
| Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability |
0 |
1 |
2 |
151 |
0 |
1 |
2 |
385 |
| Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
145 |
| Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? |
0 |
0 |
0 |
227 |
0 |
0 |
0 |
942 |
| Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
154 |
| Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? |
0 |
0 |
0 |
110 |
0 |
0 |
0 |
564 |
| Dynamic Linear Models with Markov-Switching |
0 |
0 |
0 |
2 |
2 |
5 |
18 |
1,737 |
| Estimation of Markov regime-switching regression models with endogenous switching |
0 |
0 |
5 |
1,071 |
0 |
2 |
10 |
2,533 |
| Exchange Rate Regimes and Monetary Independence in East Asia |
0 |
0 |
1 |
61 |
0 |
0 |
1 |
135 |
| Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
1,087 |
| Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
280 |
| Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? |
0 |
0 |
0 |
74 |
1 |
1 |
2 |
238 |
| Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? |
0 |
0 |
0 |
274 |
2 |
2 |
3 |
732 |
| Is There a Structural Break in the Equity Premium? |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
244 |
| Is There a Structural Break in the Equity Premium? |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
70 |
| Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike? |
1 |
3 |
10 |
321 |
1 |
4 |
17 |
647 |
| Nonlinearity and the permanent effects of recessions |
0 |
0 |
1 |
155 |
0 |
0 |
2 |
416 |
| Permanent and Transitory Nature of Recessions |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
99 |
| Permanent and Transitory Nature of Recessions |
0 |
0 |
1 |
78 |
0 |
0 |
1 |
286 |
| Permanent and transitory components of business cycles: their relative importance and dynamic relationship |
0 |
0 |
1 |
195 |
0 |
0 |
3 |
1,012 |
| Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? |
0 |
0 |
0 |
130 |
1 |
1 |
2 |
280 |
| SOURCES OF MONETARY GROWTH UNCERTAINTY: AN ENCOMPASSING APPROACH BASED ON MONTE CARLO EXPERIMENT |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
143 |
| THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
57 |
| THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
266 |
| Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
1,113 |
| Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
145 |
| Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
360 |
| Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
106 |
| The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle |
0 |
0 |
0 |
30 |
0 |
1 |
1 |
201 |
| The Evolution of the Monetary Policy Regimes in the U.S |
0 |
0 |
0 |
309 |
0 |
0 |
3 |
831 |
| The Long-Run U.S./U.K. Real Exchange Rate |
0 |
0 |
0 |
519 |
0 |
0 |
1 |
2,711 |
| The Long-Run U.S./U.K. real Exchange Rate |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
1,137 |
| The Long-Run U.S./U.K. real Exchange Rate |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
279 |
| The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis |
0 |
0 |
0 |
181 |
0 |
0 |
0 |
535 |
| The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives |
1 |
2 |
6 |
225 |
2 |
5 |
19 |
642 |
| The dynamic relationship between permanent and transitory components of U.S. business cycles |
0 |
0 |
0 |
197 |
0 |
0 |
1 |
688 |
| The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations |
0 |
0 |
0 |
150 |
0 |
0 |
0 |
461 |
| The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations |
0 |
0 |
0 |
162 |
1 |
1 |
1 |
682 |
| Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve |
0 |
0 |
0 |
69 |
1 |
1 |
2 |
158 |
| Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve |
0 |
0 |
0 |
62 |
0 |
1 |
1 |
150 |
| Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
482 |
| Total Working Papers |
2 |
7 |
29 |
6,499 |
16 |
43 |
156 |
28,206 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models |
0 |
0 |
0 |
88 |
0 |
0 |
2 |
664 |
| Bayesian counterfactual analysis of the sources of the great moderation |
0 |
0 |
0 |
90 |
0 |
1 |
4 |
330 |
| Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching |
2 |
4 |
31 |
621 |
3 |
12 |
61 |
1,339 |
| Capital Accumulation And Trade Policy:The Case Of Korea |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
85 |
| Changes in U.S. Inflation Persistence |
0 |
0 |
1 |
223 |
0 |
0 |
5 |
468 |
| Common stochastic trends, common cycles, and asymmetry in economic fluctuations |
0 |
1 |
3 |
112 |
0 |
1 |
8 |
367 |
| Dealing with Endogeneity in Regression Models with Dynamic Coefficients |
1 |
1 |
2 |
76 |
2 |
2 |
5 |
227 |
| Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures |
0 |
0 |
1 |
71 |
1 |
1 |
2 |
215 |
| Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
87 |
| Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? |
0 |
0 |
0 |
97 |
0 |
0 |
3 |
624 |
| Dynamic linear models with Markov-switching |
1 |
4 |
24 |
2,378 |
4 |
14 |
68 |
4,181 |
| Estimation of Markov regime-switching regression models with endogenous switching |
0 |
1 |
14 |
652 |
2 |
6 |
34 |
1,984 |
| Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data |
1 |
3 |
11 |
275 |
1 |
4 |
15 |
563 |
| Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components |
0 |
0 |
0 |
1 |
1 |
2 |
6 |
1,056 |
| Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle |
2 |
6 |
26 |
827 |
8 |
12 |
78 |
2,489 |
| Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
444 |
| Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? |
0 |
0 |
1 |
159 |
0 |
1 |
9 |
434 |
| Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? |
0 |
0 |
0 |
111 |
0 |
0 |
4 |
261 |
| Markov-switching models with endogenous explanatory variables |
0 |
0 |
1 |
115 |
0 |
0 |
2 |
255 |
| Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure |
0 |
1 |
1 |
168 |
0 |
1 |
4 |
387 |
| Nonlinearity and the permanent effects of recessions |
0 |
0 |
0 |
285 |
0 |
0 |
6 |
910 |
| Permanent and transitory components of recessions |
0 |
0 |
1 |
181 |
0 |
0 |
2 |
458 |
| Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances |
0 |
0 |
3 |
149 |
0 |
0 |
3 |
370 |
| Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 |
0 |
0 |
2 |
39 |
0 |
0 |
2 |
128 |
| Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 |
2 |
3 |
10 |
116 |
3 |
4 |
16 |
306 |
| The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles |
0 |
0 |
0 |
75 |
0 |
5 |
23 |
400 |
| The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
545 |
| The Long-Run U.S./U.K. Real Exchange Rate |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
1,133 |
| The Structural Break in the Equity Premium |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
92 |
| The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
766 |
| The evolution of the monetary policy regimes in the U.S |
0 |
0 |
1 |
48 |
0 |
1 |
5 |
131 |
| Time-varying parameter models with endogenous regressors |
0 |
0 |
2 |
185 |
0 |
0 |
4 |
336 |
| Transient Fads and the Crash of '87 |
0 |
0 |
0 |
162 |
0 |
0 |
2 |
726 |
| Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
738 |
| Why are stock returns and volatility negatively correlated? |
0 |
1 |
3 |
144 |
0 |
2 |
6 |
392 |
| Total Journal Articles |
9 |
25 |
138 |
7,511 |
27 |
72 |
388 |
23,891 |
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