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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Don Harding and Adrian Pagan

Abstract

The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction. This book present ... More

Keywords: global financial crisis, policymakers, economy, recession, recurrent events, volatility, financial cycles, business cycles, microeconometrics

Bibliographic Information

Print publication date: 2016 Print ISBN-13: 9780691167084
Published to Princeton Scholarship Online: January 2018 DOI:10.23943/princeton/9780691167084.001.0001

Authors

Affiliations are at time of print publication.

Don Harding, author
Victoria University

Adrian Pagan, author
University of Melbourne