Hostname: page-component-78c5997874-s2hrs Total loading time: 0 Render date: 2024-11-10T13:40:41.877Z Has data issue: false hasContentIssue false
  • English
  • Français

INTRODUCTION TO “SPECIAL ISSUE ON THE EMPIRICAL ANALYSIS OF BUSINESS CYCLES, FINANCIAL MARKETS, AND INFLATION: ESSAYS IN HONOR OF CHARLES NELSON”

Published online by Cambridge University Press:  16 December 2013

Chang-Jin Kim ,
James Morley  and
Jeremy Piger
Chang-Jin Kim
Affiliation:
University of Washington and Korea University
James Morley*
Affiliation:
University of New South Wales
Jeremy Piger
Affiliation:
University of Oregon
*
Address correspondence to: James Morley, School of Economics, Australian School of Business, University of New South Wales, Sydney, NSW 2052, Australia; e-mail: james.morley@unsw.edu.au.
Get access Rights & Permissions [Opens in a new window]

Abstract

Time series analysis of macroeconomic and financial variables requires a deep understanding of many econometric pitfalls if an empirical researcher hopes to avoid making spurious inferences. This understanding is the hallmark of Charles Nelson's research over four decades and it develops out of a healthy skepticism about “conventional wisdom,” yet a pragmatic belief that, despite the econometric hurdles, it is possible to learn from data. The papers in this special issue build on Charles Nelson's research legacy to address many important empirical questions related to business cycles, financial markets, and inflation, always with respect for the data, but wary of spurious inferences.

Keywords

Applied Time Series AnalysisBusiness CyclesFinancial MarketsInflation
Type
Introduction
Information
Macroeconomic Dynamics , Volume 19 , Special Issue 4: Empirical Analysis of Business Cycles, Financial Markets, and Inflation: Essays in Honor of Charles Nelson , June 2015 , pp. 723 - 727
Copyright
Copyright © Cambridge University Press 2013 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Beveridge, S. and Nelson, C.R. (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics 7, 151–174.CrossRefGoogle Scholar
Clarida, Richard, Gali, Jordi, and Gertler, Mark (2000) Monetary policy rules and macroeconomic stability: Evidence and some theory. Quarterly Journal of Economics 115, 147–180.CrossRefGoogle Scholar
Kim, C.-J., Manopimoke, P., and Nelson, C.R. (in press) Trend inflation and the nature of structural breaks in the New Keynesian Phillips Curve. Journal of Money, Credit and Banking.Google Scholar
Kim, C.-J. and Nelson, C.R. (1999) State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. Cambridge, MA: MIT Press.Google Scholar
Kim, Chang-Jin and Nelson, Charles (2006) Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data. Journal of Monetary Economics 53, 1949–1966.CrossRefGoogle Scholar
Morley, J.C., Nelson, C.R., and Zivot, E. (2003) Why are the Beveridge–Nelson and unobserved components decompositions of GDP so different? Review of Economics and Statistics 85, 235–243.CrossRefGoogle Scholar
Nelson, C.R. (1989) The Investor's Guide to Economic Indicators. New York: Wiley.Google Scholar
Nelson, C.R. and Startz, R. (2007) The zero-information-limit condition and spurious inference in weakly identified models. Journal of Econometrics 138, 47–62.CrossRefGoogle Scholar
Orphanides, Athanasios (2004) Monetary policy rules, macroeconomic stability, and inflation: A view from the trenches. Journal of Money, Credit and Banking 36, 151–175.CrossRefGoogle Scholar