The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, accurately described by TMS. intercept for high-inflation regime significantly higher than low-inflation actual rate mirrors smoothing probabilities of Markov process. Additionally, predicted duration each closely fits ...

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of Islamic Sharia rules. In this light, we investigate the statistical properties of the Dow Jones Islamic S...

The Journal of Economic Literature codes classification system (JEL) published by the American Association (AEA) is de facto standard for research literature in economics. JEL used to classify articles, dissertations, books, book reviews, and working papers EconLit, a database maintained AEA. Over time, it has evolved extended with over 850 subclasses. This paper reviews history development sys...

Following Hamilton (1989), estimation of Markov regime-switching regressions typically relies on the assumption that the latent state variable controlling regime change is exogenous. We relax this assumption and develop a parsimonious model of endogenous Markov regime-switching. Inference via maximum likelihood estimation is possible with relatively minor modifications to existing recursive fil...

We use a panel of 155 countries for 1970-2010 to study (two-way) causality between government spending, revenue and growth. Our results suggest the existence of weak evidence supporting causality from expenditures or revenues to GDP per capita and provide evidence supporting Wagner’s Law. JEL: C23, E62, H50.

This paper shows that in a buffer stock saving model, wealth-to-income and other interesting variables have unique stable invariant distributions. Previously this ergodic property has only been conjectured and demonstrated numerically by means of simulations. The proof proceeds by extending earlier results about the existence and uniqueness of an ergodic distribution to Markov processes on non-...

When volatility feedback is taken into account, there is strong evidence of a positive tradeoff between stock market volatility and expected returns on a market portfolio. In this paper, we ask whether this intertemporal tradeoff between risk and return is responsible for the reported evidence of mean reversion in stock prices. There are two relevant findings. First, price movements not related...

This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing and the inter-relationships with energy markets and CERs based on nonlinear techniques (threshold vect...

The purpose of the paper is to test empirically the existence of an environmental Kuznets Ž . curve EKC , using switching regime models along with cross-sectional data and Bayesian Markov chain Monte Carlo methods to perform the computations. The models are based on the normal and Student’s t distributions. These methods allow us to present exact, finitesample posterior distributions of switchi...