Business fluctuations and cycles

• Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

  Staff Working Paper 2015-24 Pierre Guérin, Danilo Leiva-Leon

  This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E3, E32, E37

• Productive Misallocation and International Transmission of Credit Shocks

  Staff Working Paper 2015-19 Yuko Imura, Julia Thomas

  We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability, International topics JEL Code(s): E, E2, E22, E3, E32, E4, E44, F, F4, F41, F44