we have studied the relation between bank deposit rates and house prices in iran. for that, we have run some var models, using the following variables: real deposit rates (including 1 and 5 years deposit rates), money supply (including the high powered money and the liquidity), gdp, housing services index, and number of licenses for new houses. our results show that a reduction in the deposit r...

In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating busi...

This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selectio...

This paper relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer-horizon contracts can be well described using Markov switching models, with predictability associated with ...

We expand Nakamura’s (2005) neural network based inflation forecasting experiment to an alternative non-linear model; a Markov switching autoregressive (MS-AR) model. The two non-linear models perform approximately on par and outperform the linear autoregressive model on short forecast horizons of one and two quarters. Furthermore, the MS-AR model is the best performer on longer horizons of thr...

In this paper we study, using the sup LR test, the possibility of discrimination between two classes of models: the Markov switching models of Hamilton (1989) and the Threshold Auto-Regressive Models (TAR) of Lim and Tong (1980). This work is motivated by the fact that generally practicians use, in applications, switching models without any statistical justi cation. Using experiment simulations...

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this important for both international investor policymakers. The Markov-switching Vector Auto Regressive (VAR) model used to examine FX There ar...

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...

We show that the covariance function of a second-order stationary vector Markov regime switching time series has a vector ARMA(p; q) representation, where upper bounds for p and q are elementary functions of the number of regimes. These bounds apply to vector Markov regime switching processes with both mean-variance and autoregressive switching. This result yields an easily computed method for ...

Segmenting the acoustic signal in the TIMIT database by a switching state Kalman filter model is reported in this paper. According to the assumption that the high dimensional acoustic feature vector of the LSF (Line Spectrum Frequency) of the speech signal is probably embedded in a low dimensional space, a two dimensional vector is used to represent the continuous state vector in this model. Th...