Confidence distributions for change-points and regime shifts

Regime Shifts and Volatility Spillovers

A standard capital asset pricing model is extended to allow for stochastic shifts in the volatility of the news process. This model is then estimated on bivariate stock market data to separate two exogenous news processes – a world and a domestic. The results indicate that the influence of the world news process on the Swedish stock market has increased significantly over the period 1970-1995. ...

Macroeconomic Regimes and Regime Shifts

Red noise and regime shifts

The analysis of interdecadal physical and biological variability is made challenging by the relative shortness of available time series. It has been suggested that rapid temporal changes of the most energetic empirical orthogonal function of North Pacific sea surface temperature (sometimes called the Pacific Decadal Oscillation or PDO) represents a ‘‘regime shift’’ between states with otherwise...

Inflation Dynamics and Regime Shifts

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The Regime Shifts Database: a Framework for Analyzing Regime Shifts in Social-ecological Systems

This paper presents the Regime Shifts Database (RSDB), a new online, open-access database that uses a novel consistent framework to systematically analyze regime shifts based on their impacts, key drivers, underlying feedbacks, and management options. The database currently contains 27 generic types of regime shifts, and over 300 specific case studies of a variety of regime shifts. These regime...