business cycle analysis with a markov switching model this article explores the hamilton markov switching model through an analysis of the business cycles of eight developed market economies forecasting and specification tests suggest only marginal improvements over linear autoregressive models yet filtered and smoothed conditional probabilities indicate turning points in business cycles that closely correlate with turning points from traditional methods tests regarding the asymmetry of business cycles reject the null of symmetry for most countries

statistical analysis of shapes in macroeconomic time series is there a business cycle burns and mitchell considered business cycles as recurrent patterns in macroeconomic time series this article develops formal ways of identifying the occurrence of such patterns and testing their significance in particular it calculates the probability that a linear time series model that fits the data well can generate the patterns observed in macroeconomic time series

monetary policy effectiveness and stock market cycles in asean 5 this article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five asean economies malaysia singapore indonesia the philippines and thailand using the recently developed pooled mean group pmg technique stock market cycles are identified by employing markov switching models and the rule based nonparametric approach estimating the models using monthly data from 1991 1 to 2011 12 the results show that monetary policy measured by short term interest rate has a negative and statistically significant long run effect on real output in bull and bear market periods while the effects are stronger in bear periods than bulls in the short run there is no statistically significant relationship between monetary policy and real output these results are consistent with finance constraints capital market imperfection models that predict that monetary policy is more effective during bear periods than bulls

structural change test in duration of bull and bear markets abstract we propose a recursive test to analyze structural changes in duration of bull and bear markets using the dow jones industrial average index we detected a single structural break in the bull market duration in april 1942

the brevity and violence of contractions and expansions abstract early studies of business cycles argued that contractions in economic activity were briefer shorter and more violent rapid than expansions this paper systematically investigates this claim and in the process discovers a robust new business cycle fact contractions in employment are briefer and more violent than expansions but we cannot reject the null of equal brevity and violence for expansions and contractions in output the difference arises because employment typically lags output around peaks but they coincide in their troughs we discuss the performance of existing business cycle models in accounting for this fact and conclude that none can fully account for it we then show that a business cycle model with asymmetric adjustment costs on employment and a choice of when to scrap old technologies can account for the business cycle fact both qualitatively and quantitatively

how housing slumps end we construct a simple model of the end of housing slumps we show that the probability that real housing prices stop falling is higher the smaller was the pre slump house price run up the greater has been the cumulative house price decline the faster is gdp growth and most importantly the lower are mortgage interest rates slumps are longer where the construction sector is more responsive allowing booms to create larger supply overhangs but shorter the more developed are financial markets and institutions enabling new buyers to access credit and enter the market falling house prices can lead to lower private sector credit flows in turn limiting the scope for new home purchases and creating the danger of a vicious spiral of slumping housing prices and distressed financial institutions this suggests that policymakers should take steps to break the link between the housing market problems and banking problems by intervening to recapitalize distressed banking systems while using quantitative easing and credit easing to lower mortgage interest rates and help revive the housing market directly agustin s benetrix barry eichengreen and kevin h o rourke

spillovers from the oil sector to the housing market cycle we assess the spillovers from the oil sector to the housing market cycle using quarterly data for 20 net oil exporting and importing industrial countries and employing continuous and discrete time duration models we do not uncover a statistically significant difference in the average duration of booms and normal times in the housing markets of those net oil importers and net oil exporters similarly the degree of exposure to commodity price fluctuations does not seem to significantly affect the housing market cycle however we find that housing booms are shorter when oil prices increase than housing busts when oil prices decrease we also show that the net oil importers are more vulnerable to protracted housing slump episodes than the net oil exporters

trend definition or holding strategy what determines the profitability of candlestick charting abstract we ask what determines the profitability of candlestick trading strategies is it the definition of trend and or the holding strategy that one uses in candlestick charting analysis to answer this we systematically consider three definitions of trend and four holding strategies applying candlestick trading strategies to the djia component data we find that regardless of which definition of trend is used eight three day reversal patterns with a caginalp laurent holding strategy are profitable when we set the transaction cost at 0 5 and after we account for data snooping bias while the patterns with a marshall young rose holding strategy are not profitable for sensitivity analysis we also find that our results are not qualitatively changed on a lower transaction cost of 0 1 or when we conduct the subsample analyses based on three equal periods and three distinct market conditions when considering a more volatile market evidence in favor of candlestick trading strategies is strengthened

do long swings in the business cycle lead to strong persistence in output abstract this paper investigates how the occasional long swing in the business cycle can produce long memory behavior in us output to prove this theoretical relationship we extend the hamilton markov chain regime switching model of real aggregate output to include the occasional long regime we do this by modeling the duration length of the expansion and recession regimes as draws from a fat tailed distribution with realized durations that are high in variability and occasionally extreme in value empirically we find that the tail indices for the length of us economic booms and busts correspond with the long memory parameter estimates of diebold and rudebusch 1989 long memory and persistence in aggregate output journal of monetary economics 24 189 209 and sowell 1992a modeling long run behavior with the fractional arima model journal of monetary economics 29 277 302 for real us output estimates of our extended regime switching model produce better short and long run forecasts of output in comparison to forecasts with a fractionally integrated model furthermore our estimated regime switching model finds us expansions to be fragile during their infancy but become more and more likely to continue after surviving the first seven quarters

size and sign asymmetries in house price adjustments long run mean reversion in real house prices is determined by the relative strength of fundamental factors against the short run influences this article suggests that the adjustment towards the lo

duration dependence in us expansions a re examination of the evidence abstract it is commonly accepted that economic expansions do not exhibit duration dependence that is the probability of an expansion terminating in the near future is thought to be independent of the length of the expansion when looking at the probability of entering a recession within a year or 2 years we find considerable evidence of economically significant duration dependence this pattern suggests that certain types of macroeconomic vulnerabilities may be accumulating as the expansion ages causing the arrival of a recession to become more likely

what do the leading indicators lead the authors find that the composite leading index cli is useful for forecasting gross national product gnp both in sample and in an out of sample real time exercise they propose a nonlinear specification in which cyclical shifts of the cli precede those in gnp however the authors find that better forecasts are provided by a simple linear relation between current gnp growth and the growth rate of the cli during the previous quarter along with an error correction term corresponding to the previous quarter s logarithmic difference between the level of the cli and the level of gnp copyright 1996 by university of chicago press

a nonlinear approach to us gnp a univariate nonlinear model is estimated for us gnp that on many criteria outperforms standard linear models the estimated model is of the threshold autoregressive type and contains evidence of asymmetric effects of shocks over the business cycle in particular the nonlinear model suggests that the post 1945 us economy is significantly more stable than the pre 1945 us economy

corporate demography and income inequality we examine the relationship between income inequality and corporate demography in regional labor markets and specify two mechanisms through which the number and diversity of employers in a labor market affect wage dispersion vertical differentiation or variation in the ability of organizations of a particular kind to benefit from labor inputs amplifies inequality through quality sorting as the most productive employees in a particular domain pair with the most productive employers increasing horizontal differentiation variation in the kinds of organizations reduces inequality as individuals can more easily find firms interested in their distinctive attributes and talents our analysis of danish census data provides support for each thesis increased numbers of organizations operating within an industry in a region a proxy for vertical differentiation increases wage dispersion in that industry region variation in wages however declines with increased horizontal differentiation among employers th

measuring business cycles a modern perspective in the first half of this century special attention was given to two features of the business cycle 1 the comovement of many individual economic series and 2 the different behavior of the economy during expansions and contractions both of these attributes were ignored in many subsequent business cycle models which were often linear representations of a single macroeconomic aggregate however recent theoretical and empirical research has revived interest in each attribute separately notably dynamic factor models have been used to obtain a single common factor from a set of macroeconomic variables and nonlinear models have been used to describe the regime switching nature of aggregate output we survey these two strands of research and then provide some suggestive empirical analysis in an effort to unite the two literatures and to assess their usefulness in a statistical characterization of business cycle dynamics

financial markets shutdown and reaccess we employ a discrete time parametric duration model on a group of 121 countries over the period 1970 2011 and find that the probability of the end of financial markets shutdown and reaccess falls as these events become longer we also show that 1 shutdown episodes are longer when economic prospects are poor and the degree of financial openness falls the chief executive has been in office for long periods and the country has a default history and 2 spells of reaccess tend to be longer when economic growth improves and financial openness increases there are neither government crises nor government instability and the country did not default in the past jel c41 g15

what happens during recessions crunches and busts we provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles for 21 oecd countries over the period 1960 2007 in particular we analyse the implications of 122 recessions 113 28 credit contraction crunch episodes 114 28 episodes of house price declines busts 245 61 episodes of equity price declines busts and their various overlaps in these countries over the sample period our results indicate that the interactions between macroeconomic and financial variables can play a major role in determining the severity and duration of a recession specifically we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions stijn claessens m ayhan kose and marco e terrones

imperfect information and the house price in a general equilibrium model abstract house prices have inertia which may be because housing market participants need time to recognize long booms and recessions within a dynamic stochastic general equilibrium model with an endogenous market for housing i consider the case of rational expectations subject to imperfect information about the persistence of exogenous shocks i evaluate the performance of the model against the last 40 years of key u s macroeconomic data bayesian comparison strongly favors the model over the baseline case with perfect information under imperfect information agents rely on learning to form expectations which improves the ability of the model to generate realistic low frequency house price dynamics however as long as the agents form expectations rationally the improvement is limited furthermore to confine price inertia within the housing market is a challenge for the general equilibrium approach

credit constraints equity market liberalization and growth rate asymmetry abstract this paper provides evidence that financial openness is an important determinant of growth rate asymmetry in emerging markets i exploit exogenous shocks to financial flows and examine the impact of equity market liberalization on the skewness of output growth for 93 countries during the 1973 2009 period i show that opening the economy to foreign portfolio investment results in a substantially higher negative skewness of output growth this result obtains with equal strength in the aggregate data and in the sectoral data and it is disproportionately stronger in sectors that require more external finance the skewness effect of financial openness is stronger in countries which experienced a banking crisis after liberalization

segregation and poverty concentration the role of three segregations a key argument of massey and denton s 1993 american apartheid is that racial residential segregation and non white group poverty rates combine interactively to produce spatially concentrated poverty despite a compelling theoretical rationale empirical tests of this proposition have been negative or mixed this article develops a formal decomposition model that expands massey s model of how segregation group poverty rates and other spatial conditions combine to form concentrated poverty the revised decomposition model allows for income effects on cross race neighborhood residence and interactive combinations of multiple spatial conditions in the formation of concentrated poverty applying the model to data reveals that racial segregation and income segregation within race contribute importantly to poverty concentration as massey argued almost equally important for poverty concentration however is the disproportionate poverty of blacks and hispanics other race neighbors it is thus more accurat

the asymmetric effects of investor sentiment and monetary policy on stock prices we examine the impact of investor sentiment and monetary policy on the stock prices under different market states based on the markov switching vector autoregression ms var model the results show that the sentiment shocks more than monetary policy shocks lead to not only much larger fluctuations of stock prices but also much longer duration in the stock market downturn than in the stock market expansion which shows obvious asymmetric effect moreover the responses of stock prices to the sentiment shocks present an immediate effect while the responses of stock prices to the monetary policy shocks show one period lag effect

stock market reaction to fed funds rate surprises state dependence and the financial crisis this paper examines the response of us stock returns to federal funds rate ffr surprises between 1989 and 2012 focusing on the impact of the recent financial crisis we find that outside the crisis period stock prices increased as a response to unexpected ffr cuts state dependence is identified with stocks exhibiting larger increases when interest rate easing coincided with recessions bear markets and tightening credit conditions however an important structural shift occurred during the crisis changing the stocks response to ffr shocks and the nature of state dependence throughout the crisis period stocks did not react positively to unexpected ffr cuts which were interpreted as signals of worsening future economic conditions this triggered a rebalancing of investment portfolios away from falling equities and towards safe haven assets our results highlight the severity of the crisis and the ineffectiveness of conventional monetary policy close to the zero lower bound

the development of renewable energy in resource rich region a case in china abstract with the largest population living in rural areas the lack of clean energy supply is an important problem in china and the utilization of renewable energy not only meets the demand of energy but also provides a basis for environmental protection and sustainable development this paper reviews use of clean energy in a resource rich region including the basic principle of the development of recycling agriculture the potential the present status and the future of renewable energy in the region rural areas if the project will be finished there will be 300 000 families benefiting from it and it can bring at least 2 2 108 us dollars revenue increase directly the indirect revenue increase will be 0 15 billion us dollars the environment will be improved and the living standard in jincheng s rural areas is also be greatly improved because of developing biogas project based on the developing status and constraint conditions the solutions to further promote renewable energy projects in this region are also proposed

business cycle turning points a new coincident index and tests of duration dependence based on a dynamic factor model with regime switching the synthesis of the dynamic factor model of stock and watson 1989 and the regime switching model of hamilton 1989 proposed by diebold and rudebusch 1996 potentially encompasses both features of the business cycle identified by burns and mitchell 1946 1 comovement among economic variables through the cycle and 2 nonlinearity in its evolution however maximum likelihood estimation has required approximation recent advances in multimove gibbs sampling methodology open the way to approximation free inference in such non gaussian nonlinear models this paper estimates the model for u s data and attempts to address three questions are both features of the business cycle empirically relevant might the implied new index of coincident indicators be a useful one in practice do the resulting estimates of regime switches show evidence of duration dependence the answers to all three would appear to be yes

federal reserve interest rate targeting rational expectations and the term structure abstract the amount of information in the yield curve for forecasting future changes in short rates varies with the maturity of the rates involved indeed spreads between certain long and short rates appear unrelated to future changes in the short rate contrary to the rational expectations hypothesis of the term structure this paper estimates a daily model of federal reserve interest rate targeting behavior which accompanied by the maintained hypothesis of rational expectations explains the varying predictive ability of the yield curve and elucidates the link between fed policy and the term structure

asymmetries and nonlinearities in italian macroeconomic fluctuations this paper reports the results of an empirical investigation of business cycle asymmetries in the italian economy macroeconomic time series both annual post unity and quarterly post world war ii are subjected to nonlinearity and asymmetry tests the dynamics of recessions and expansions are then modelled with threshold autoregressive and markov switching models the paper shows that allowing for two regimes is sufficient to account for the finding of neglected nonlinearity the results indicate that business cycle asymmetries can provide both an intuitive economic interpretation and a parsimonious representation of nonlinearities in macroeconomic time series

energy contagion analysis a new perspective with application to a small petroleum economy abstract we put forward the novel concept of energy contagion i e a deepening of energy finance linkages under crisis conditions in energy markets further we show how to construct tests for energy contagion through correlation co skewness and co volatility channels the samples of our contagion measures are defined in terms of calm and crisis periods in the international crude oil market in particular we compare how these various co moments in the energy finance nexus change during 1 oil booms and slumps using semi parametric rule based algorithms 2 tranquil and turbulent oil price volatility episodes using a non hierarchical k means clustering algorithm energy contagion analysis is essential for financial stability analysis in economies where prosperity is linked to the prices of hard commodities our applications are performed on the oil exchange rate and oil stock market relationships of the small petroleum economy of trinidad and tobago the main results show a negative oil real effective exchange rate dependency a weak oil stock returns association and the existence of several energy contagion channels in both financial relationships which are sensitive to the contemporary global financial crash

on measuring synchronization of bulls and bears the case of east asia abstract this paper implements estimation and testing procedures for comovements of stock market cycles or phases in asia we extend the harding and pagan harding d pagan a p 2006 synchronization of cycles journal of econometrics 132 1 59 79 test for strong multivariate nonsynchronization smns between business cycles to a test that allows for an imperfect degree of multivariate synchronization between stock market cycles moreover we propose a test for endogenously determining structural change in the bivariate and multivariate synchronization indices upon applying the technique to five asian stock markets we find a significant increase in the cross country comovements of asian bullish and bearish periods in 1997 a power study of the stability test suggests that the detected increase in comovement is more of a sudden nature i e contagion or asian flu instead of gradual i e financial integration it is furthermore argued that stock market cycles and their propensity toward increased synchronization contain useful information for both investors policy makers and financial regulators

are china s new energy stock prices driven by new energy policies abstract this paper studies the impact of china s new energy policies on expected changes and volatility in new energy stock prices considering different kinds of policies energy legislation binding targets for new energies economic incentives and technological research and development and several new energy indexes china s new energy sector and the solar wind nuclear and lithium battery subsectors we used a regression model with a garch specification and dummy variables to differentiate policy pre and post announcement effects on expected returns and volatility our evidence indicates that pre and post announcement energy legislation policies dampened price volatility in all subsector indexes and that economic incentives had a positive policy announcement effect on all subsector index prices other new energy policies had no significant impact on either the mean or the volatility of the new energy assets the potential implications for policy makers and investors are discussed

a hedonic approach to residential succession a model of neighborhood turnover drawn from bond and coulson 1989 is proposed the type of turnover process that is obtained is shown to depend mainly on the hedonic bid functions for housing and neighborhood quality a demand system of four hedonic attributes is estimated the main results are that the traditional model of filtering by age of unit does not occur and that filtering by housing size does tipping due to changes in median neighborhood income is also quite possible tipping through changes in racial composition appears less likely copyright 1990 by mit press

when unionization disappears state level unionization and working poverty in the united states although the working poor are a much larger population than the unemployed poor u s poverty research devotes much more attention to joblessness than to working poverty research that does exist o

sustainable rural electrification using rice husk biomass energy a case study of cambodia abstract the role of energy in overall social and economical developments is well recognized however most energy providers are reluctant to venture in rural regions of developing countries these regions are generally characterized by low income populations minimum access to electricity rare access to financial services or loans in this paper we present the potential of rice husk for rural electrification in cambodia rice husk is locally abundant at almost no cost with a production over 9 3 million tons paddy rice in 2014 for a total population of about 15 million people the conversion of rice husk into electricity through gasification or thermally generated electricity is a well known technology rice husk can contribute in a sustainable manner to grant access to electricity to cambodian rural population and is more reliable and competitive with reference to other renewable energy sources of electricity the present investigation focuses on the study of self sustaining energy service model to provide grid quality power to rural populations without the need of subsidies in cambodia many rice mills are operating in rural and semi urban areas some of these mills are now using rice husk for electricity production for industries and rural households generally for lighting at low cost we believe that the power systems focusing on both power requirements for the industry such rice mills and power requirements for the people living in the neighboring villages rural areas at affordable tariff could become the most appropriate solution for the sustainable rural electrification along with the potential of rice husk for rural electrification in cambodia we present a financially viable business model to provide the grid quality power to rural population without grant or subsidy

job duration seniority and earnings an important stylized fact about labor markets is that workers with longer seniority with their current employer have higher earnings than other workers with the same total labor market experience this study shows that workers in longer jobs earn more throughout than workers in a series of shorter jobs and that the measured positive cross sectional return seniority is largely a statistical artifact due to the correlation of seniority with an omitted variable representing the quality of the worker the job or the worker employer match the implication is tha t earnings do not in fact rise very much with seniority copyright 1987 by american economic association

dissecting the cycle a methodological investigation following burns and mitchell we define the cycle as a pattern in the level of aggregate economic activity an algorithm to locate turning points is developed as is a new measure of pro cyclicality a link between turning points and the moments of the series is established thereby providing the statistical foundation that burns and mitchell s work lacked using these tools we are able to dissect cycles in terms of the contributions made by trend growth volatility serial correlation and non linear effects we dissect several models and find little evidence that certain non linear effects are important to the nature of business cycles

community and capital in entrepreneurship and economic growth we argue that social integration in the sense of within community interconnectedness and venture capital have a complementary relationship in fostering innovation entrepreneurship and economic gr

candlestick technical trading strategies can they create value for investors abstract we conduct the first robust study of the oldest known form of technical analysis candlestick charting candlestick technical analysis is a short term timing technique that generates signals based on the relationship between open high low and close prices using an extension of the bootstrap methodology which allows for the generation of random open high low and close prices we find that candlestick trading strategies do not have value for dow jones industrial average djia stocks this is further evidence that this market is informationally efficient

a review on the development and commercialization of biomass gasification technologies in china with the fast economic growth the energy demand in china has increased two fold in the past three decades various energy resources have been exploited and utilized and biomass is one of the energy resources that is abundant and has been widely used in china for a long time biomass gasification is an efficient and advanced technology for extracting the energy from biomass and has received increasing attention in the energy market in this paper the development of biomass gasification for various energy applications in china is reviewed and their prospects are discussed among the different biomass gasification technologies biomass gasification and power generation is found to be the most promising biomass gasification technology that has great potential to be further developed in china

do recessions permanently change output abstract this paper examines whether negative innovations to gnp are more or less persistent than positive innovations we find that once we allow for the impulse response of gnp to be asymmetric negative innovations to gnp are observed to be much less persistent than positive ones in particular the effect of a recession on the forecast of output is found to be negligible after only eight to twelve quarters while the effect of a positive shock is estimated to be persistent and amplified over time our results may therefore help reconcile two antagonistic views about the nature of business cycle fluctuations

stock market cycles financial liberalization and volatility in this paper we analyze the cycles of the stock markets in four latin american and two asian countries and we compare their characteristics we divide our sample in two subperiods in order to account for differences induced by the financial liberalization processes of the early 1990s we find that cycles in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries however after financial liberalization latin american stock markets have behaved more similarly to stock markets in developed countries whereas asian countries have become more dissimilar concordance of cycles across markets has increased significantly over time especially for latin american countries after liberalization

combining preferences and processes an integrated approach to black white labor market inequality this article offers an innovative theoretical approach to black white labor market inequality that combines components of threat spatial mismatch and urban decline theories in a queuing framework using a unique measure the earnings gap between black and white workers resulting from sorting into different occupations within an occupationally and educationally delimited labor queue the author tests hypotheses from the combined model results show support for the combined model as characteristics of labor and job queues significantly influence the extent of black white inequality variables representing employers preferences for or against hiring black workers are also significant suggesting the utility of jointly examining preferences and processes in the labor market

chinese stock market cyclical regimes 1991 2006 abstract chinese bull and bear market regimes are objectively identified and their statistical properties outlined chinese market cycles are extremely pronounced but have moderated as the market matures ex ante trading rule tests indicate the usefulness of regime identification for chinese investors

job access employment and earnings outcomes for welfare leavers in a us urban labour market this article examines the effect of job access on employment outcomes for welfare recipients in cleveland ohio leaving assistance during 1998 2000 a rich longitudinal dataset is employed combining administrative and survey data with multiple measures of access to and competition for jobs the focus is on both a population and a range of measures of employment outcomes not previously studied in this context empirical ambiguity in the existing literature has resulted from the difficulty of modelling causality when employment and residential location are jointly determined in this study labour market outcomes are related to the residential locations of welfare leavers prior to employment thus overcoming much potential endogeneity virtually no evidence is found that job access influences labour market outcomes for this population

racial wage inequality job segregation and devaluation across u s labor markets1 despite decades of research showing greater black white inequality in local areas where the black population is relatively large little is known about the mechanisms for this effect using a unique data set of individuals nested within jobs across labor markets this article tests two possible mechanisms for the black concentration effect on wage inequality job segregation and devaluation results show that black population size is associated with greater segregation of black workers into black dominated jobs on the other hand no evidence is found that the penalty for working in a black dominated job the devaluation effect increases as a function of black population size the article concludes that discrimination against workers especially exclusion from better paying jobs is an important mechanism for the effect of black population size on the racial wage gap

inventories and the three phases of the business cycle this article demonstrates that recessions typically are followed by high growth recovery phases that push output back to its prerecession level thus postwar fluctuations in real output in the united states have consisted of three sequential phases rather than two contractions high growth recoveries and moderate growth periods following recoveries data from before world war ii also exhibit this pattern for the postwar period the three phase pattern is shown to reflect swings in inventory investment and suggests that output fluctuations have an important transitory component the evidence in this article supports delong and summers s output gaps view and friedman s plucking model view of fluctuations

business cycle duration dependence a parametric approach this paper reexamines duration dependence in u s business cycles using parametric hazard models positive duration dependence would indicate that expansions or contractions are more likely to end as they become older this paper provides statistically significant evidence of positive duration dependence for expansions before world war ii and contractions after world war ii the evidence is stronger than in earlier research utilizing nonparametric techniques because certain nonparametric techniques have low statistical power against the type of duration dependence found in this paper evidence is also presented suggesting that expansions became longer on average after world war ii while contractions became shorter copyright 1991 by mit press

business cycle duration dependence reconsidered sichel estimated a weibull hazard model using the national bureau of economic research business cycle chronology and found evidence of duration dependence only for prewar expansions and postwar contractions the article updates the postwar sample through the end of the most recent expansion and uses a generalized weibull model that provides much greater flexibility at the expense of one additional parameter this model finds evidence of duration dependence for all samples and is statistically superior to the conventional weibull model for all samples except postwar contractions

a simple framework for analysing bull and bear markets bull and bear markets are a common way of describing cycles in equity prices to fully describe such cycles one would need to know the data generating process dgp for equity prices we begin with a definition of bull and bear markets and use an algorithm based on it to sort a given time series of equity prices into periods that can be designated as bull and bear markets the rule to do this is then studied analytically and it is shown that bull and bear market characteristics depend upon the dgp for capital gains by simulation methods we examine a number of dgps that are known to fit the data quite well random walks garch models and models with duration dependence we find that a pure random walk provides as good an explanation of bull and bear markets as the more complex statistical models in the final section of the paper we look at some asset pricing models that appear in the literature from the viewpoint of their success in producing bull and bear markets which resemble those in the data copyright 2002 john wiley sons ltd

booms busts and normal times in the housing market we assess the existence of duration dependence in the likelihood of an end in housing booms busts and normal times using data for 20 industrial countries and a continuous time weibull duration model we find evidence of positive duration dependence suggesting that housing market cycles have become longer over the last decades then we extend the baseline weibull model and allow for the presence of a change point in the duration dependence parameter we show that positive duration dependence is present in booms and busts that last less than 26 quarters but that does not seem to be the case for longer phases of the housing market cycle for normal times no evidence of change points is found finally the empirical findings uncover positive duration dependence in housing market booms of european and non european countries and housing busts of european countries in addition they reveal that while housing booms have similar length in european and non european countries housing busts are typically shor

job relocation and the racial gap in unemployment in detroit and chicago 1980 to 1990 the spatial mismatch hypothesis argues that residential segregation and job decentralization combine to adversely affect the employment opportunities of minorities while employment is increasingly located outside of central cities residential segregation prevents minorities from moving closer to suburban jobs although this hypothesis has intuitive appeal there is little consensus regarding its empirical validity this study 1 constructs detailed geographic measures of changes in employment opportunities 2 estimates a fixed effects model of changes in the unemployment rate over time and 3 accounts for spatial correlation in the error term neighborhood level employment data from 1980 and 1990 are used to measure changes in the distance to jobs from census tracts in the detroit and chicago metropolitan areas in both cities the decentralization of employment and the loss of manufacturing jobs resulted in substantial changes in the spatial distribution of employment the empirical results indicate that a decline in the spatial proximity to employment is associated with an increase in the unemployment rate for blacks

intraday patterns and trading strategies in the spanish stock market different rating and investment companies have recently pointed out spain s brightening growth outlook which has energized the spanish stock market by anticipating greater interest in the behaviour of the spanish stock market we show that the best trading strategy is that in which the investor enters long or short after the opening of the new york stock exchange nyse till the end of the trading day at 17 30 this strategy should be complemented with that of entering long or short from the opening of the trading day till the closing price before the opening of the nyse in no coincidence phases

on the periodic structure of the business cycle this article tests whether an economic recovery is equally likely to occur in any month of the year i test this hypothesis with a homogeneous markov switching regime model and use the turning point dates for business cycles marked by the national bureau of economic research and romer i tend to find unequal probabilities to switch from recession to expansions in particular the spring and the month of december appear to have higher incidence of economic recovery my results also imply that recessions and expansions are on average longer or shorter depending on what time of the year they start this suggests the presence of a seasonal pattern in business cycle durations though such a notion of seasonality is quite different from the common one based on unobserved component linear time series models i investigate issues that go beyond linear dependence between seasonality and business cycles

evidence of the duration dependence from the stock markets in the pacific rim economies this article investigates the duration dependent feature of five pacific rim economies the duration dependent markov switching model is employed to achieve this objective the savage dickey density ratio is also computed in support of the duration dependent markov switching model the possible bull and bear market dates for each stock market are also identified by the posterior probability from the empirical model it is unambiguous that japan south korea and hong kong are all characterized by duration dependence in a bear market but no duration dependence in a bull market in the case of taiwan and singapore the duration dependence feature holds for both the bear and bull markets

the spatial mismatch hypothesis what has the evidence shown this paper reviews 20 years worth of empirical evidence on the spatial mismatch hypothesis after briefly surveying the relevant models from urban and labour economics and recent trends in employment and population suburbanisation the empirical evidence on spatial effects is examined this literature includes evidence on the effects of residential segregation residential suburbanisation and employment suburbanisation and direct measures of access such as travel times the most recent evidence suggests that spatial mismatch is relevant for explaining black white employment differences though the magnitudes of these effects remain unclear

the substitution between moves and quits if a worker s workplace and residence locations do not maximize utility quits and moves are substitutes a quit or a move alone is more likely than both together records of a single company confirm this simultaneous bivariate probit estimates of move and quit behavior demonstrate that uncontrolled shocks to quits and moves are negatively correlated furthermore when the company relocated from the central business district to a suburb of its metropolitan area the occurrence of either a quit or a move virtually precluded the occurrence of the other among employees whose journeys to work were lengthened by the relocation copyright 1991 by royal economic society

intra metropolitan shifts in labor demand and the adjustment of local markets abstract i offer new evidence on the adjustment of local labor markets to geographic shifts in labor demand within us metropolitan areas using a unique data set in which metropolitan subregions are geographically matched across the 1970 1980 and 1980 1990 decades the evidence uncovered paints the following picture workers especially those with less education make incomplete adjustments within metropolitan areas in response to intra metropolitan demand shifts although blacks may not make especially limited adjustments they have disproportionately suffered deleterious effects from job movements because the demand shifts have tended to be away from their places of residence

modelling house price volatility states in the uk by switching arch models this article analyses investment risk in the housing market by examining volatility properties of house prices for the uk we use both arch and garch models to estimate price conditional heteroscedasticity and find evidence of a time varying property in the volatilities of the house price series we then use the swarch model and find there are three volatility states in the price series our estimations suggest the uk housing markets are relatively stable and different states do not switch very often the magnitude of high price volatility is as high as 20 99 times of the low volatility for the older housing market and 14 times of the low volatility for the new housing market in addition the older housing market is less efficient than the new housing market since the impacts of events on the volatility state of the older house prices is more lasting than in new housing market

real business cycles investment finance and multiple equilibria abstract this paper develops a simple neo classical model of the business cycle characterised by multiple equilibria produced by the interaction of the investment and production processes for the usual symmetric information model the source of the multiple equilibria may be found in non linearities in the production function under asymmetric information another possible source of multiple equilibria is non linearities in the investment wealth relationship persistence is generated by changes in the supply of funds and hence in the capital stock journal of economic literatureclassification numbers d50 e32

business cycle durations and postwar stabilization of the u s economy average postwar expansions are twice as long as prewar expansions and contractions are one half as long this paper investigates three possible explanations the first explanation is that shocks to the economy have been smaller in the postwar period the second explanation is that the composition of output has shifted from very cyclical sectors to less cyclical sectors the third explanation is that the apparent stabilization is largely spurious and is caused by differences in the way that prewar and postwar business cycle reference dates were chosen by the national bureau of economic research the evidence presented in this paper favors this third explanation copyright 1994 by american economic association

does growth vary over the business cycle some evidence from the g7 countries in this paper we analyse the dynamics of business cycles in the g7 countries our aim is to answer the question of whether growth varies in an absolute sense over the business cycle and hence to examine whether the simple two phase characterization downturn upturn is an appropriate description of the business cycle to study growth over the cycle we estimate single country equations and then a pooled regression that takes into account the important interactions of international business cycles the results confirm the steepness asymmetry of the growth cycles and show that growth varies systematically within upturns and downturns these are consistent with the notion of deepness asymmetry which implies that contractions are more pronounced in the later stages of a downturn whereas expansions are stronger immediately after troughs

determinants of housing price volatility in canada a dynamic analysis this article tries to identify the determinants of housing price volatility and to examine the dynamic effects of these determinants on volatility using quarterly data for canada the generalized autoregressive conditional heteroskedastic garch and the vector autoregressive var models have been employed to analyse possible time variation of the housing price volatility and the interactions between the volatility and the key macroeconomic variables we find the evidence of time varying housing price volatility for canada our var granger causality and variance decomposition vdc analyses demonstrate that housing price volatility is affected significantly by gross domestic product gdp growth rate housing price appreciation rate and inflation on the other hand volatility affects gdp growth rate housing price appreciation and volatility itself the impulse response analysis reveals the asymmetric of the positive and negative shocks the findings of this article have important implications particu

does monetary policy have asymmetric effects on stock returns this paper investigates whether monetary policy has asymmetric effects on stock returns using markov switching models different measures of a monetary policy stance are adopted empirical evidence from monthly returns on the standard poor s 500 price index suggests that monetary policy has larger effects on stock returns in bear markets furthermore it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear market regime

housing market cycles and duration dependence in the united states and canada housing wealth is a large component of households total wealth and plays an important role in aggregate business cycles in this article we explore data on real house price cycles at the aggregate level and city level for the us and canada using a panel of 137 cities we examine the duration and characteristics of housing market cycles in north america we find that north american housing cycles are long averaging 5 years of expansion and 4 years of contraction we estimate a discrete time survival model with a probit specification for house price expansions and contractions this model allows us to test for duration dependence we find that us housing market expansions have positive duration dependence since their exit probabilities increase with duration while contractions seem to have no duration dependence canadian house price cycles did not exhibit duration dependence standard determinants of house prices interest rates income and population growth are included as controls

global factors uncertainty weather conditions and energy prices on the drivers of the duration of commodity price cycle phases abstract we investigate the role of global factors in explaining the length of commodity price cycle phases using a continuous time weibull duration model and data for a panel of 33 countries over the period 1980q1 2015q4 we find evidence of increasing constant positive duration dependence for commodity price booms and busts normal time spells global macroeconomic conditions in particular inflation economic policy uncertainty and monetary policy actions significantly affect the duration of all commodity price cycle phases global environmental conditions also impact the duration of commodity price booms with a rise in average temperature rainfall increasing reducing their length a rise in the number of military conflicts around the globe is associated with shorter booms and busts finally we find that a rise in oil prices is linked with longer booms and shorter busts

a nonparametric investigation of duration dependence in the american business cycle does the termination probability of a business expansion or contraction increase with age this question may be formally addressed by analyzing the nature of duration dependence in aggregate economic activity our null hypothesis is that there is no duration dependence which we test via intentionally nonparametric procedures we also argue that common notion of business cycle periodicity can be usefully interpreted in terms of whole cycle duration dependence we find some evidence for duration dependence in whole cycles and in prewar expansions but little evidence elsewhere

on the persistence and volatility in european american and asian stocks bull and bear markets abstract in this paper we examine the statistical properties of several stock market indices in europe the us and asia by means of determining the degree of dependence in both the level and the volatility of the processes in the latter case we use the squared returns as a proxy for the volatility we also investigate the cyclical pattern observed in the data and in particular if the degree of dependence changes depending on whether there is a bull or a bear period we use fractional integration and garch specifications the results indicate that the indices are all nonstationary i 1 processes with the squared returns displaying a degree of long memory behaviour with respect to the bull and bear periods we do not observe a systematic pattern in terms of the degree of persistence though for some of the indices ftse dax hang seng and sti there is a higher degree of dependence in both the level and the volatility during the bull periods

nonlinear business cycle dynamics cross country evidence on the persistence of aggregate shocks i introduction economists have long been interested in the dynamics of business cycles particularly regarding the symmetry of expansions and contractions more recently the specification of stochastic trends in economic growth has generated concerns about the relative persistence of positive and negative shocks to the economy several papers have looked at the persistence of business cycles including nelson and plosser 1982 campbell and mankiw 1987 cochrane 1988 diebold and rudebusch 1989 balke and fomby 1990 zelhorst and de haan 1994 and bradley and jansen 1995 while results vary especially on the issue of a unit root in output the overarching result is that output fluctuations are highly persistent one question not asked by the above authors is whether business cycle dynamics are asymmetric this issue has been investigated by neftci 1984 falk 1986 delong and summers 1986 hamilton 1989 diebold and rudebusch 1990 and terasvirta and anderson 1991 these authors take a variety of approaches but they reach a general conclusion that there is some evidence of asymmetric business cycle dynamics however most of these studies ask if contractions are shorter and steeper than expansions except hamilton 1989 they do not ask if there is a difference in persistence due to the asymmetries in a recent paper beaudry and koop 1993 propose a set of methods for simultaneously examining these two questions specifically beaudry and koop bk recommend the augmentation of the standard arma representation of real output growth through the inclusion of a nonlinear term that captures the relative state of the economy this augmentation provides for nonlinear dynamics and the possibility of asymmetric dynamic responses to positive and negative shocks in addition calculation of the implied impulse responses permits detection of the relative persistence implied by the combination of asymmetric cycle dynamics and stochastic trend based upon their analysis of u s data bk conclude that the response of the economy to positive and negative shocks is indeed asymmetric and the imposition of symmetry on impulse responses has likely led to misleading measures of persistence bk p 162 as a result bk conclude we find that the effects of negative shocks to be mainly temporary and the effects of positive shocks to be very persistent bk p 162 if bk s results are correct they have strong implications for the way macro economists view economic fluctuations and will in their words contribute to a reappraisal of some macroeconomic theories that is bk s results suggest that macroeconomic models must be revised to provide for temporary effects of negative shocks but permanent effects of positive shocks because of the potential importance of bk s results we examine the robustness of those results by modifying and extending bk s proposed methods of testing not only do we extend the analysis to the other six g7 countries besides the united states but also we redefine in a sensible way the nature of the nonlinear dynamics overall our results from other economies provide only mixed support for the asymmetry of cyclical dynamics and the lack of persistence of negative shocks ii the model to be estimated in the bk framework the estimated model includes an asymmetric response term the asymmetry is generated by a variable that measures the strength of a recession the variable is calculated as the distance between current real gdp and the previous peak level of real gdp that is bk define a measure they call current depth of the recession cdr where 1 cdr sub t max y sub t j sub j greater than or equal to 0 y sub t with this definition in place bk recommend augmenting an autoregressive model of real gdp growth as 2 phi l delta y sub t delta omega l 1 cdr sub

asymmetric business cycles theory and time series evidence abstract we offer a theory of economic fluctuations based on intertemporal increasing returns agents who have been active in the past face lower costs of action today this specification explains the observed persistence in individual and aggregate output fluctuations even in the presence of i i d shocks because individuals respond to the same shock differently depending on their recent past experience the exact process for output the sharpness of turning points and the degree of asymmetry are determined by the form of heterogeneity our general formulation under certain assumptions reduces to a number of popular state space unobserved components models we find that on us data our general formulation performs better than many of the existing econometric models largely because it allows sharper downturns and more pronounced asymmetries than linear models and is smoother than discrete regime shift models our estimates imply that only modest intertemporal returns are needed for our model to explain us gnp and that heterogeneity across agents plays an important role in the propagation of business cycle shocks

the role of inventory investment as a leading indicator of the us business cycle abstract this article compares several time series of inventory investment as they relate to overall economic fluctuations inventory investment is shown to provide a consistent lead particularly ahead of downturns in overall business activity a case is made for retaining changes in inventories on hand as part of the u s composite index of leading indicators the predictive power of inventory investment in the context of a recursive downturn probability model is measured and the computational program used for the related calculations is described

real business cycles and the test of the adelmans abstract this paper conducts a modern variant of the test proposed and carried out by adelman and adelman 1959 using the methods developed by burns and mitchell 1946 we see if we can distinguish between the economic series generated by an actual economy and those analogous artificial series generated by a stochastically perturbed economic model in the case of the adelmans the model corresponded to the klein goldberger equations in our case the model corresponds to a simple real business cycle model the results indicate a fairly high degree of coincidence in key economic aggregates between the business cycle characteristics identified in actual data and those found in our simulated economy

testing for persistence in housing price to income and price to rent ratios in 16 oecd countries housing price to income and price to rent ratios are among the most widely monitored indicators of housing market conditions while these ratios tend to fluctuate around a constant level or a mild trend over the long term they also tend to deviate from these benchmarks for protracted periods traditional unit root tests often indicate the presence of a unit root this article uses the framework of fractional integration to test the persistence of price to income and price to rent ratios in a sample of 16 oecd countries spanning four decades the results indicate that the ratios are highly persistent the possibility that persistence estimates may be affected by structural breaks in the series is also considered but evidence of such breaks is found only in a very limited number of cases policy action may be required if high price to income and price to rent ratios have adverse social and economic consequences policies should be guided by a careful analysis of the factors behind high ratios

business cycle asymmetries characterisation and testing based on markov switching autoregressions tests for business cycle asymmetries are developed for markov switching autoregressive models the tests of deepness steepness and sharpness are wald statistics which have standard asymptotics for the standard two regime model of expansions and contractions deepness is shown to imply sharpness and vice versa whereas the process is always nonsteep two and three state models of u s gnp growth are used to illustrate the approach along with models of u s investment and consumption growth the robustness of the tests to model misspecification and the effects of regime dependent heteroscedasticity are investigated

booms and slumps in world commodity prices abstract this paper examines the duration and magnitude of cycles in world commodity prices cycles are a dominant feature of commodity prices and dealing with the economic consequences of booms and slumps in prices continues to be one of the most challenging issues facing policymakers in commodity exporting developing countries we find that there is an asymmetry in commodity price cycles as price slumps last longer than price booms how far prices fall in a slump is found to be slightly larger than how far they tend to rebound in a subsequent boom in addition for most commodities the probability of an end to a slump boom in prices is independent of the time already spent in the slump boom

an econometric analysis of some models for constructed binary time series macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence we show that this dependence can be allowed for if the binary states are treated as markov processes in addition the methods of construction ensure that certain sequences are never observed in the constructed data together these features make it difficult to utilize static and dynamic probit models we develop modeling methods that respect the markov process nature of constructed binary data and explicitly deals with censoring constraints an application is provided that investigates the relation between the business cycle and the yield spread

dormancy risk and expected profits of consumer loans abstract a bank that lends money to a household faces two types of risk frequently mentioned is the risk of default seldom referred to is the risk of an early redemption of the loan leading to dormancy in this paper we model the transition of consumer loans from an active to a dormant state to this end we use data on 4786 individuals who were granted credit by a swedish lending institution between september 1993 and august 1995 and estimate a semi parametric duration model we analyze the factors that determine the time to maturity on consumer loans and investigate the ability of the model to match the maturities observed in the data moreover we derive the distribution of conditional expected durations of loans and show how a loan application can be evaluated by calculating its expected profit