7 datasets found

Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock...

This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with...

An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during...

This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous...

This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood...

This paper introduces classification tree ensembles (CTEs) to the banking crisis forecasting literature. I show that CTEs substantially improve out-of-sample forecasting...

This paper replicates the results in Schularick and Taylor (American Economic Review 2012; 102(2): 1029-1061; ST hereafter). Specifically, I replicate ST's results in the narrow...