Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model

被引：30

作者：

Billio, Monica ^{[1
,2
]}

Casarin, Roberto ^{[1
,2
]}

Ravazzolo, Francesco ^{[3
,4
]}

Van Dijk, Herman K. ^{[5
,6
]}

机构：

[1] Univ Ca Foscari Venice, Venice, Italy

[2] GRETA Assoc, Fondamenta San Giobbe 873\, I-30121 Venice, Italy

[3] Norges Bank, Oslo, Norway

[4] BI Norwegian Business Sch, Oslo, Norway

[5] Vrije Univ Amsterdam, Econometr Dept, Erasmus Univ Rotterdam, Inst Econometr, Rotterdam, Netherlands

[6] Tinbergen Inst, Rotterdam, Netherlands

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2016年 / 31卷 / 07期

关键词：

TIME; INFLATION;

D O I：

10.1002/jae.2501

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of country-specific Markov chains, allowing for interconnections. An efficient multi-move sampling algorithm draws time-varying Markov-switching chains. Using industrial production growth and credit spread data, several important data features are obtained. Three regimes appear, with slow growth becoming persistent in the eurozone. Turning point analysis indicates the USA leading the eurozone cycle. Amplification effects influence recession probabilities for Eurozone countries. A credit shock results in temporary negative industrial production growth in Germany, Spain and the USA. Core and peripheral countries exist in the eurozone. Copyright (c) 2016 John Wiley & Sons, Ltd.

引用

页码：1352 / 1370

页数：19

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