Currency crises, sunspots and Markov-switching regimes
By Olivier Jeanne, Paul R. Masson. 2000
284 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/cc0fbc6bdbd9039cca8b387a5fb37aaff2eab2a1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Vítor Castro
- Luca Agnello
- Monica Billio
- Loriana Pelizzon
- Ricardo M. Sousa
- M. Sbracia
- A. Prati
- Juri Marcucci
In Finance
- Monica Billio
- Loriana Pelizzon
- Vítor Castro
- Ricardo M. Sousa
- Luca Agnello
- M. Sbracia
- A. Prati
- Juri Marcucci
Citations in the corpus
- Macroeconomic Regimes and Regime Shifts (2016, unknown): “A sudden wave of pessimism could be self-fulfilling, giving rise to multiple equilibria that could exhibit Markov switching (Jeanne and Masson, 2000), or could be characterized by tipping point dynamics where under the right circumstances a small change in fundamentals pushes a country into crisis.”
- The asymmetric effects of oil shocks on output growth: a Markov-switching analysis for the G-7 countries (2006, unknown): “…framework has been used in order to model other economic variables, for instance exchange rates (e.g. Engel, 1994, Engel and Hamilton, 1990 and Jeanne and Masson, 2000), interest rates (Ang and Bekaert, 1998, Dahlquista and Gray, 2000 and Hamilton, 1988,inter alia) stock returns (see, among…”
- Value-at-Risk: a multivariate switching regime approach (2000, background): “Firstly, applications to finance have been . . scarce, noteworthy exceptions being Pagan and Schwert 1990 , Turner et al. 1989 , as well as van . . . Norden and Schaller 1993 , Rockinger 1994 and Hamilton and Susmel 1994 . Now there is high . . interest for this type of models: see for example, Bill”
- Uncertainty and Currency Crises: Evidence from Survey Data (2010, methodology): “Developing a framework for testing the role of uncertainty in models with multiple equilibria is a topic for future research, possibly using regime switching econometric techniques as in Jeanne and Masson (2000).”
- How does fiscal policy react to wealth composition and asset prices (2012, background): “[48] Jeanne, O.”