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Business Cycles, Regime Shifts, and Return Predictability.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Nov2023, Vol. 58 Issue 7, p3058-3084. 27p.
Abstract: Consistent with the empirical properties of the consumption data, I develop a model in which consumption and dividend growth follow regime-switching dynamics. I show that regime-shift risk is priced in the model. Regime-shift risk exhibits dominant inf...
The Impact of Risk Cycles on Business Cycles: A Historical View.
Publication Type: Academic Journal
Source(s): Review of Financial Studies. Jul2023, Vol. 36 Issue 7, p2922-2961. 40p.
Abstract: We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs about risk. We construct a proxy of these beliefs and show that perceived...
DETECTING BUSINESS CYCLES FOR HUNGARIAN LEADING AND COINCIDENT INDICATORS WITH A MARKOV SWITCHING DYNAMIC MODEL TO IMPROVE SUSTAINABILITY IN ECONOMIC GROWTH.
Publication Type: Academic Journal
Source(s): Decision Making: Applications in Management & Engineering (DMAME). Oct2023, Vol. 6 Issue 2, p744-773. 30p.
Abstract: This paper applies the hidden Markov switching dynamic regression (MSDR) model to estimate transition probabilities of the Hungarian GDP between recessionary and expansionary periods. The transition probabilities are then compared to the OECD Hungarian...
Commodity Prices and the US Business Cycle.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Oct2023, Vol. 16 Issue 10, p462. 21p.
Abstract: This article explores the relationship between commodity price cycles and the US business cycle. Commodity price cycles are known to foster capricious macroeconomic activity, and understanding their behaviour offers valuable economic insight. The US bu...
On the Direction of Causality between Business and Financial Cycles.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Oct2023, Vol. 16 Issue 10, p430. 26p.
Abstract: This paper investigates whether business cycles cause financial cycles or vice versa. We also assess whether the US plays a leading role in causing the domestic business and financial cycles of other countries. The literature has established that busin...
Trendy Business Cycles and Asset Prices.
Publication Type: Academic Journal
Source(s): Review of Financial Studies. Jun2023, Vol. 36 Issue 6, p2509-2570. 62p.
Abstract: The data-generating process underlying productivity includes both trend and business cycle shocks, generating counterfactuals for prices under full information. In practice, agents' inability to immediately distinguish between the two shocks creates "r...
A Robust Statistical Methodology for Measuring Enterprise Agility.
Publication Type: Academic Journal
Source(s): Applied Sciences (2076-3417). Jul2023, Vol. 13 Issue 14, p8445. 17p.
Abstract: In an era characterized by rapid technological advancements, economic fluctuations, and global competition, adaptability and resilience have become critical success factors for businesses navigating uncertainty and complexity. This article explores the...
F. A. von Hayek’o verslo ciklo teorija: jos gimimo aplinkybės, esmė ir aktualumas šiandienai.
Publication Type: Academic Journal
Source(s): Regional Formation & Development Studies. 2023, Vol. 41 Issue 3, p30-39. 10p.
Abstract: Straipsnyje pateikiamas F. A. von Hayek’o verslo ciklo teorijos gimimo aplinkybių, esmės ir jos realaus aktualumo šiandienai teorinis tyrimas, grindžiamas nuostata, kad siekiant suprasti šiuolaikinę visuomenę reikia rimtai priimti dėmesin idėjų ir visu...
A Wavelet Investigation of Periodic Long Swings in the Economy: The Original Data of Kondratieff and Some Important Series of GDP per Capita.
Publication Type: Academic Journal
Source(s): Economies. Sep2023, Vol. 11 Issue 9, p231. 21p.
Abstract: The existence of fluctuations is part of the narrative, especially when there is a slowdown (or worse, a contraction) in economic activity. The presence of long waves with a period of about 50 years as proposed by Kondratieff is one of the most controv...
Uncertainty and Business Cycle: An Empirical Analysis for Uruguay †.
Publication Type: Academic Journal
Source(s): Engineering Proceedings. 2023, Vol. 39, p97. 16p.
Abstract: As a small and open economy, Uruguay is highly exposed to international and regional shocks that affect domestic uncertainty. To account for this uncertainty, we construct two geometric uncertainty indices (based on the survey of industrial expectation...