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Titolo:
Time-series model with periodic stochastic regime switching - Part II: Applications to 16th-and 17th-century grain prices
Autore:
Bac, C; Chevet, JM; Ghysels, E;
Indirizzi:
Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA Univ N Carolina Chapel Hill NC USA 27599 Econ, Chapel Hill, NC 27599 USA
Titolo Testata:
MACROECONOMIC DYNAMICS
fascicolo: 1, volume: 5, anno: 2001,
pagine: 32 - 55
SICI:
1365-1005(200102)5:1<32:TMWPSR>2.0.ZU;2-4
Fonte:
ISI
Lingua:
ENG
Keywords:
Markov regime-switching models; historical inflation chronologies; time-series model; grain prices;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
Citazioni:
29
Recensione:
Indirizzi per estratti:
Indirizzo: Ghysels, E Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA Univ N Carolina Chapel Hill NC USA 27599 el Hill, NC 27599 USA
Citazione:
C. Bac et al., "Time-series model with periodic stochastic regime switching - Part II: Applications to 16th-and 17th-century grain prices", MACROECON D, 5(1), 2001, pp. 32-55

Abstract

This paper provides a historical chronology of economic activity in 16th- and 17th-century France that is based on wheat price series in Paris and Toulouse. A stochastic regime-switching model enables us to benchmark eras and summarize the salient features of a development difficult to appraise in all its complexity. A new class of Markov regime-switching time-series models is introduced to allow for nontrivial interdependencies between different types of cycles that make the economy grow at an unsteady rate. With a predominantly agricultural cycle, we uncover a strongly periodic Markov switching scheme for recorded wheat prices from the grain markets of Paris and Toulouse. Besides the periodic nature of the Markov chain, we also study whether a common factor determined the state of the economy in Paris and Toulouse or whether each series moved independently.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 10/07/20 alle ore 12:45:42